Providing a model for pricing oil parallel forward securities based on Black and Scholes option pricing model

Subject Areas : Financial engineering

Hamed Najafi ¹ , Ghasem Nikjou ² , Kamran Salmani ³

1 - Master of Economics, Payame Noor University of Babol, Mazandaran, Iran
2 - PHD student of International and Financial Economics, Allameh Tabataba’i University, Tehran, Iran
3 - Master of Financial Mathematics, Allameh Tabataba'i University, Tehran, Iran

Received: 2018-01-14 Accepted : 2018-05-16 Published : 2018-09-23

Keywords: Oil parallel forward securities, Black and Scholes option pricing model, Financing in oil industry,

Abstract :

Nowadays the energy is considered as driving sector of economy. Forecast of 150 billion dollar in energy sector during the fifth development program and banking and financial system requires a dynamic and modern economy and financial tools. However, this approach requires removing legal barriers and modification of the contract. Financing in the oil industry in recent years has faced with serious challenges. The joint investment in oil and gas fields is indispensable. Thus designing of a new contract with the Ministry of Petroleum oil bonds known parallel forward security, tries to raise funds needed. In this article we look at a proposal of the Ministry of Petroleum pattern for optimum pricing for securities offers based on Black and Scholes option pricing model. To estimate the prices, a proposal is presented based on empirical research and statistical models. Finally, we recommend that according to this model other researchers work on pricing the oil parallel forward securities.