IDEAS home Printed from https://ideas.repec.org/a/jfr/jbar11/v7y2018i1p32-42.html
   My bibliography  Save this article

A New Pricing Model for Crude Oil Pre-Sale Units via SPFO (Standard Parallel Forward with Options) in Iran

Author

Listed:
  • Ghasem Nikjou
  • Hamed Najafi
  • Kamran Salmani

Abstract

Nowadays energy has an important role as a driving sector of economy. Forecasting 150 billion dollars investment in energy sector during the fifth development program in Iran, the banking and financial system require a dynamic and modern economy and financial instruments. Obviously, this approach needs to remove legal barriers and modification of contracts. Financing in the oil industry has faced with serious challenges in recent years. In addition, investing in common offshore oil and gas resources is indispensable. Accordingly we are going to design a new contract which is called Oil SPFO (Standard Parallel Forward security with two Options under betting condition), in order to raise funds needed. In this article we would investigate the SPFO for Iran Ministry of Petroleum (MOP)¡¯s finance and present a model for pricing the oil SPFO based on Black and Scholes option pricing model. Finally, we have some recommendations to develop the oil SPFO and suggest that other researchers work on pricing the oil parallel forward securities according to this model.

Suggested Citation

  • Ghasem Nikjou & Hamed Najafi & Kamran Salmani, 2018. "A New Pricing Model for Crude Oil Pre-Sale Units via SPFO (Standard Parallel Forward with Options) in Iran," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 7(1), pages 32-42, April.
    • Handle: RePEc:jfr:jbar11:v:7:y:2018:i:1:p:32-42
    as

    Download full text from publisher

    File URL: http://www.sciedupress.com/journal/index.php/jbar/article/download/13281/8195
    Download Restriction: no
    File URL: http://www.sciedupress.com/journal/index.php/jbar/article/view/13281
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    2. André F. Perold, 2004. "The Capital Asset Pricing Model," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 3-24, Summer.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Siriopoulos, Costas & Fassas, Athanasios, 2012. "An investor sentiment barometer — Greek Implied Volatility Index (GRIV)," Global Finance Journal, Elsevier, vol. 23(2), pages 77-93.
    2. Calum G. Turvey, 2005. "The pricing of degree‐day weather options," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 65(1), pages 59-85, May.
    3. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
    4. Scholes, Myron S, 1998. "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, vol. 88(3), pages 350-370, June.
    5. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, January.
    6. Calum G. Turvey & Shihong Yin, 2002. "On the Pricing of Cross Currency Futures Options for Canadian Grains and Livestock," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 50(3), pages 317-332, November.
    7. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
    8. Mondher bellalah, 2018. "Pricing derivatives in the presence of shadow costs of incomplete information and short sales," Annals of Operations Research, Springer, vol. 262(2), pages 389-411, March.
    9. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    10. Jack S. K. Chang & Jean C. H. Loo & Carolyn C. Wu Chang, 1990. "The Pricing Of Futures Contracts And The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 297-306, December.
    11. David Babbel & Craig Merrill, 1998. "Economic Valuation Models for Insurers," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 1-15.
    12. Turvey, Calum G., 2002. "Insuring Heat Related Risks In Agriculture With Degree-Day Weather Derivatives," 2002 Annual meeting, July 28-31, Long Beach, CA 19896, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    13. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    14. Gustavo Silva Araujo & Ricardo Alves Carmo Ribeiro, 2018. "Is Petrobras Options Market Efficient? A Study Using The Delta-Gamma Neutral Strategy," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 126, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    15. Klaus Schredelseker, 2012. "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, vol. 64(8), pages 833-845, December.
    16. Stefan Lutz, 2012. "Effects of taxation on European multi-nationals’ financing and profits," Economics Discussion Paper Series 1214, Economics, The University of Manchester.
    17. Rodriguez, Ricardo J., 2002. "Lognormal option pricing for arbitrary underlying assets: a synthesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 577-586.
    18. Andrei Kapaev, 2013. "Remark on repo and options," Papers 1311.5211, arXiv.org.
    19. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
    20. Robert McDonald & Daniel Siegel, 1981. "Option Pricing When the Underlying Asset is Non-Stored," Discussion Papers 512, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jfr:jbar11:v:7:y:2018:i:1:p:32-42. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Grace Lee (email available below). General contact details of provider: http://jbar.sciedupress.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.