Hedging Price Risk in Commodity Accumulators using Istijrar Contracts

  The dissertation is in the field of Islamic finance. I structure a product with an "up and in" call option and a "down and in" put option in order to control the price risk for purchasing commodities in a supply agreement. If the price breaches the top barrier, the buyer would have the right to purchase the commodity at the strike price, and if the price breaches the bottom barrier, then the Bank would be able to sell the commodity at the strike price. A chart (titled Price Mechanism) is included in the attachments to give you an idea. Additionally, the structure also includes an Asian option so that at each fixing date if the price of the commodity does not breach either barrier the price would be the average price movement during the previous period. The whole premise of this structure is RISK SHARING. I need to price such a structure to see its value using Cox Ross Rubenstein Model or a Black Scholes Model whatever is more suitable. Monte Carlo Simulation should be used in order to check for the accuracy of results. Real data using Gold commodity prices for the past 3 years should be used as well. An example of a previous thesis done on another Islamic product is attached for reference (titled Nahla Junabi). I have also attached a document (titled Thesis) which I had started with the research objective etc as a starting point. The thesis outline (attached) gives an idea of what I had in mind. A few snippets regarding Istijrar contracts are also attached. The Literature review should include: - Islamic view on derivatives. What are the equivalent derivatives used in Islamic finance? - Wa’ad contracts - Istijrar contracts I WOULD REALLY REALLY APPRECIATE IT IF YOU COULD CONTACT ME FIRST SO THAT WE COULD DISCUSS IT WITH A BIT MORE DETAIL.