Hamdi, Haykel and Majdoub, Jihed,(2018), Risk-sharing finance governance: Islamic vs conventional indexes option pricing. , Managerial Finance, UNSPECIFIED
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Abstract
Purpose – Risk governance has an important influence on the hedging performances in option pricing and
portfolio hedging in both discrete and dynamic case for both conventional and Islamic indexes. The paper
aims to discuss these issues.
Design/methodology/approach – This paper explores option pricing and portfolio hedging in a discrete
and dynamic case with transaction costs. Monte Carlo simulations are applied to both conventional and
Islamic indexes in US and UK markets. Simulations show that conventional and Islamic assets do not exhibit
the same price and portfolio hedging strategy governance.
Findings – The authors conclude that Islamic assets show different option price and hedging strategy
compared to their conventional counterpart.
Originality/value – The research question of this paper aims at filling the gap in the empirical literature
by exploring option price and hedging structure for both conventional and Islamic indexes in US and UK
stock markets.
Keywords : | Financial risk, Options markets, Portfolio optimization, UNSPECIFIED |
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Journal or Publication Title: | Managerial Finance |
Volume: | 44 |
Number: | 5 |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Users 15 not found. |
Date Deposited: | 26 Dec 2019 04:56 |
Last Modified: | 26 Dec 2019 04:56 |
URI: | https://repofeb.undip.ac.id/id/eprint/822 |