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-bank uncollateralized call market and the call rates are prone to liquidity shocks in the system. The spread between Call and Repo rates is …
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Enforced by the empirical deficiencies of the Black-Scholes and its wrong distributional assumption, researchers provoked to pursue the development of more realistic option pricing models encompassing the level of skewness and kurtosis. Therefore, the objective of this paper is multi-fold. The...
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