A new model for pricing the options in Islamic finance

MaRDI QIDQ6141595zbMATH OpenFDO

Authors A. El Hajaji, A. Serghini, Khalid Hilal, K. Mokhlis

Publication date 20 December 2023

Full work available at URL http://www.math.nthu.edu.tw/~amen/2023/AMEN-220104.pdf

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Analytical solutions of fractional foam drainage equation by residual power series method
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• Numerical solution of the obstacle problem by the penalty method
• Pricing American bond options using a cubic spline collocation method
• Risk preference, option pricing and portfolio hedging with proportional transaction costs
• THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS
• The pricing of options and corporate liabilities

Cited in

(2)

• Does Islamic Capital Asset Pricing Model Outperform Conventional Capital Asset Pricing Model?
• Meshless approach for pricing Islamic Ijarah under stochastic interest rate models

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