چکیده:
Given the increasing development of new financial instruments in the world and the interest shown in option contracts in our country during the last decade، in this research، a feasible model was developed for option contract pricing within the Islamic financial environment. First، as an introduction to the pricing issue of this contract in Black- Scholes model، the mathematical extraction method of this model and the rationale for introduction of interest rate into it is discussed. Next، it was explained that the assumption of full risk coverage in this model justifies inclusion of interest rate into it. In our case، the test result did not confirm this assumption. By study of the pricing models constructed and introduced prior to Black-Scholes model، the Bones model was found suitable for our study.
خلاصه ماشینی:
Then, it was determined that the assumption of full risk hedging considered in this model served as a justification for the inclusion of the interest rate; by violating this assumption and examining pricing models prior to Black-Scholes, an appropriate pricing model for this contract was presented in accordance with the بونس (Bons) model.
Keywords Islamic finance, call option contract pricing, Black-Scholes model, Bons model Introduction Conventional finance has provided numerous tools for risk management, which include derivative instruments.
An option contract in the primary market is a consensual and commutative contract whose subject is the transfer of the right to buy or sell a specific financial asset to another through a commitment to perform the aforementioned legal act.
In 1900, using geometric Brownian motion for stock price dynamics and normal distribution for stock returns, derived the following formula for valuing a European call option on an underlying asset without dividends (Bellalah , 2009, P.
Boness18 Formula Boness (1964) presented a formula for pricing option contracts that, by discounting the stock delivery price using the expected rate of stock return, also took the time value of money into account (Clifford, 1976, pp.
Other previous researchers had also placed similar assumptions regarding the underlying stock in option contract pricing, but they did not assume that this expected return was equal to the interest rate.
Therefore, the principle of risk-neutral valuation, which is the basis for the Black-Scholes model pricing, is set aside, and the equality of the expected return of the underlying asset with the interest rate is removed; in this case, μ is included in the equations.
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