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Residential Mortgage Backed Securities are gaining momentum in India, as the same are likely to be listed and traded in public domain. This has prompted the analysis of different aspects of pricing its products. Various risk elements control the prices of these products and prepayment is one of...
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This research paper is aimed at diagnosing the pricing inefficiencies prevailing in the Indian index options market. The inefficiencies are being revealed by testing the rational expectations hypothesis on the term structure of implied volatilities of index options. In the paper, an effort has...
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