The Brownian dynamics of an optically trapped water droplet are investigated across the transition from over- to underdamped oscillations. The spectrum of position fluctuations evolves from a Lorentzian shape typical of overdamped systems (beads in liquid solvents) to a damped harmonic oscillator spectrum showing a resonance peak. In this later underdamped regime, we excite parametric resonance by periodically modulating the trapping power at twice the resonant frequency. The power spectra of position fluctuations are in excellent agreement with the obtained analytical solutions of a parametrically modulated Langevin equation.