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Modeling Prices of Islamic Commodity Swaption نمذجة أسعار عقود سلع المبادلة الإسلامية

Author

Listed:
  • Nahla Ghazi Aljudaibi

    (Effat University, Jeddah, Saudi Arabia)

  • Shabir Ahmad Hakim

    (Effat University, Jeddah, Saudi Arabia)

  • Tahar Tayachi

    (Effat University, Jeddah, Saudi Arabia)

Abstract

Derivatives that manage commodity risk over multiple periods are not Shariah-compliant. This study proposes a Shariah-compliant swaption model (wa'din or two promises on swap) for hedging commodity risk. The model combines two separate and independent wa'ds (wa'din) on commodity swap through murabahah contract. Black (1976) model is used to determine the intrinsic value for the counter-parties involved in the contract. The risk-free rate is replaced with the return on AAA Sukuk to make Black (1976) model Shariah compliant. The proposed Shariah-compliant model is compared with the conventional swaption model, and with the Islamic commodity option (wa'din on commodity) for its effectiveness. The tests of the model show that the proposed Islamic pricing model has a higher positive effect than the conventional swaption model. In addition, the proposed Islamic commodity swaption is more efficient than Islamic commodity options. The reliability of the proposed model was established by the Monte Carlo simulation run with 10,000 iterations. إن المشتقات التي تدير مخاطر السلع على مدى فترات متعددة ليست متوافقة مع الشريعة الإسلامية. تقترح هذه الدراسة نموذج خيار مبادلة أسعار السلع متوافق مع الشريعة الإسلامية (نموذج الوعدين على مبادلة السلع) للتحوط من مخاطر السلع. يجمع النموذج بين وعدين على مبادلة السلع من خلال عقد المرابحة. تم استخدم نموذج بلاك (1976م) لتحديد القيمة الجوهرية للأطراف المقابلة المشاركة في العقد. ولكي نجعل نموذج بلاك متوافقاً مع الشريعة الإسلامية استبدلنا المعدل الخالي من المخاطر بالعائد على الصكوك ذات التصنيف الائتماني المرتفع (AAA). وقد قام الباحثون أيضاً بمقارنة النموذج المقترح مع نموذج خيار مبادلة أسعار الفائدة التقليدية، ومع خيار السلع الإسلامية (وعدان على السلع) لمعرفة مدى فعاليته وتأثيره. تظهر نتائج اختبارات النموذج أن نموذج التسعير الإسلامي المقترح له تأثير إيجابي أعلى من نموذج خيار مبادلة أسعار الفائدة التقليدي. علاوة على ذلك، فإن نموذج خيار مبادلة السلع الإسلامية المقترح أكثر كفاءة من نموذج خيارات السلع الإسلامية. وقد تم إثبات موثوقية النموذج المقترح من خلال محاكاة مونتي كارلو التي أجريت مع 10,000 تكرار.

Suggested Citation

  • Nahla Ghazi Aljudaibi & Shabir Ahmad Hakim & Tahar Tayachi, 2018. "Modeling Prices of Islamic Commodity Swaption نمذجة أسعار عقود سلع المبادلة الإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 31(2), pages 111-131, July.
    • Handle: RePEc:abd:kauiea:v:31:y:2018:i:2:no:9:p:111-131
    DOI: 10.4197/Islec.31-2.9
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    References listed on IDEAS

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