aProfessor, Payam Noor University, Iran
bAssociate Professor, Islamic Thought and Culture research center, Iran
cProfessor, Imam Sadiq University, Iran
dPhD student, Economic Sciences, Payam Noor University, Iran
Online published on 23 September, 2014.
In order to enter the contract pricing discussion for call option of Black Scholes, first of all the mathematical method for extraction of Black Scholes model and the philosophy for entering interest rate in this model were investigated. Then, it was specified that the hypothesis for complete hedging of risk which is considered in this model has been a justification for entering the interest rate. In this study, the pricing models of Sprenkle and Samuelson were studied compared to the Black Scholes model and it was specified that each of these two models can be an appropriate substitute for pricing this contract in Islamic financial market.
Islamic finance, pricing models for call option contract, Black Scholes model, Samuelson model, Sprenkle model
