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Mathematical modelling of mid-term options price of Ijarah Sukuk

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posted on 2023-06-09, 14:33 authored by Majdi Alsolami
The main aim of this thesis is to study the pricing of options of Ijarah Sukuk for lifespan. The pricing formulae of mid-term call and put options are derived by computing the expected value under the risk neutral measure and using an appropriate condition of exercising the option at mid-term. The mid-term option prices with continuous Ijarah obtained using these formulae are compared with the prices of European and American options with dividend for lifespan. The comparison is done both analytically and numerically. The same analysis is done for callable and puttable Sukuk with Ijarah and compared with the prices of European and American callable and puttable bond with coupon for lifespan. We also study the relationship between callable Sukuk price and Ijarah rate by computing the duration and convexity of the callable Sukuk price. The same analysis is done for puttable Sukuk.

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File Version

  • Published version

Pages

123.0

Department affiliated with

  • Mathematics Theses

Qualification level

  • doctoral

Qualification name

  • phd

Language

  • eng

Institution

University of Sussex

Full text available

  • Yes

Legacy Posted Date

2018-08-15

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