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Carlos Eduardo Fucci

Universidade Federal do Rio de Janeiro (UFRJ) - Alberto Luiz Coimbra Institute for Graduate Studies and Research in Engineering (COPPE)

Rua 36 n. 355

Rio de Janeiro, 21949-900

Brazil

  • Universidade Federal do Rio de Janeiro (UFRJ) - Alberto Luiz Coimbra Institute for Graduate Studies and Research in Engineering (COPPE)

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Term Structure Analysis of Option Implied Volatility in the Brazilian Market

Applied Mathematical Sciences, Forthcoming
Number of pages: 14 Posted: 08 Mar 2017
Carlos Heitor Campani and Carlos Eduardo Fucci
The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ) and Universidade Federal do Rio de Janeiro (UFRJ) - Alberto Luiz Coimbra Institute for Graduate Studies and Research in Engineering (COPPE)
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Abstract:

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Volatility term structure, Volatility shocks, Brazilian options market