Campa, Jose M.; Chang, Kevin; Refalo, James F. - IESE Business School, Universidad de Navarra - 2000
This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...