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- W2891760783 abstract "The main aim of this thesis is to study the pricing of options of Ijārah Sukūk 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 Ijārah 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 Sukūk with Ijārah and compared with the prices of European and American callable and puttable bond with coupon for lifespan. We also study the relationship between callable Sukūk price and Ijārah rate by computing the duration and convexity of the callable Sukūk price. The same analysis is done for puttable Sukūk." @default.
- W2891760783 created "2018-09-27" @default.
- W2891760783 creator A5087333810 @default.
- W2891760783 date "2018-08-14" @default.
- W2891760783 modified "2023-09-27" @default.
- W2891760783 title "Mathematical modelling of mid-term options price of Ijārah Sukūk" @default.
- W2891760783 hasPublicationYear "2018" @default.
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