 However every model is derived under the assumption that there is sufficient liquidity - in other words, they are potentially mispricing the trades because in this market, a few of the key standard Black–Scholes assumptions (such as zero transaction cost, unlimited liquidity, no jumps in price) break down.No active secondary market ever existed for PRDC and banks usually mark their books to some consensus level provided by an independent company.Anecdotal evidence indicates that nobody would show a bid anywhere close to that consensus level.