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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
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    References listed on IDEAS

    as
    1. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    2. 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.
    3. André F. Perold, 2004. "The Capital Asset Pricing Model," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 3-24, Summer.
    4. 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.
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    JEL classification:

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

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