Recovering Risk-Neutral Densities from Brazilian Interest Rate Options

Recovering Risk-Neutral Densities from Brazilian Interest Rate Options

Building Risk-Neutral Density (RND) from options data is one useful way for extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index) options from 1998 to 2009, this paper estimates the option-implied Risk-Neutral Densities for the Brazil...

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Bibliographic Details
Main Authors:	José Renato Haas Ornelas, Marcelo Yoshio Takami
Format:	Article
Language:	English
Published:	Brazilian Society of Finance 2011-03-01
Series:	Revista Brasileira de Finanças
Subjects:	Risk-Neutral Density Interest Rate Options Generalized Beta Mixture of Log-Normals
Online Access:	http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2761/2158

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