Document Type : Research Paper

Authors

• Fatemeh Ghasemi
• Mohammad Reza Ranjbar Falah
• Asghar Abolhasani
• Seyed Abbas Mousaviyan
• Kamran Nadri

Abstract

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.