Valuation of Ijarah Sukuk Based on Equity Using Stochastic Mathematics Method

Document Type : Science - Research (Islamic Financial Securities Pricing)

Authors
Hasan kiaee 1
Mostafa Soltani 2
1 Assistant Professor, Faculty of Islamic Studies and Economics, Imam Sadiq University, Tehran, Iran
2 .A. in Islamic Studies and Economics, Islamic Studies and Economics Faculty, Imam Sadiq University, Tehran, Iran
10.30497/ifr.2022.242022.1678
Abstract
The issuance of ijarah sukuk based on equity is one of the achievements of the capital market and is in fact the second generation of ijarah sukuk based on financial assets. These securities are important because their underlying assets are transparent and tradable in the market, and their price can be measured continuously. Therefore, sukukholders should be able to enjoy their most important property rights, namely the transfer of sukuk at the current price, and changes in stock prices should also be considered. But unfortunately, what can be seen in the design and use of these sukuk is that there is no difference between the pricing of these sukuk and ordinary ijarah sukuk and the interest rate of these bonds is considered to be fixed and proportional to the bank interest rate. Therefore, considering the importance and position of this type of ijarah sukuk, the article uses a library method and refers to similar studies as well as a random mathematics method and Monte Carlo simulation to provide a proposed valuation model that considers changes in the base asset price and interest rate proportional to the stock income, and its simulation using an experimental sample. Finally, this is compared to the market prices and it is observed that the simulation prices using the proposed model are different from them. It can eventually be noted that, in regard to the research assumptions and our proposed model,  the issuance of ijarah sukuk based on equity is closer to the country’s desirable model and will be more in line with the Islamic economy.
Keywords
Ijarah Sukuk
Equity
Valuation Model
Stochastic Mathematics
Monte Carlo
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  • Receive Date 20 October 2021
  • Revise Date 27 November 2021
  • Accept Date 26 January 2022