Valuation of Iran’ s Crude Oil Swap Contracts with Caspian Countries via the Approach of Financial Derivatives

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ABRISHAMI HAMID; BEHRADMEHR NAFISEH; tahmasebi narges

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Journal: Journal of Economic Research Year:2019 | Volume:53 | Issue:4 Page(s): 755-778

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Title

Valuation of Iran’ s Crude Oil Swap Contracts with Caspian Countries via the Approach of Financial Derivatives

Author(s)

ABRISHAMI HAMID | BEHRADMEHR NAFISEH | tahmasebi narges | Issue Writer Certificate

Keywords

crude oil swapQ1

future contractsQ2

the SwapperQ1

the Buyer and SellerQ1

Abstract

The purpose of this study is to evaluate crude oil swap of Iran with Caspian countries. In crude oil swap contracts, Iran can take two roles: "the Swapper" or "the Buyer and Seller". Also, receiving crude oil from the Caspian countries and delivering equivalent of value of that from the south of Iran can take place simultaneously and non-simultaneously. The datasets contain oil future contract price for period of 1999-2012. Life of swap is assumed to be 5 years. But, it is also increased to 7 years. The results show that It would be more beneficial for Iran to play the role of "the Buyer and Seller" than the role of "the Swapper" in swap contract. Finally, the longer the life of the swap, the higher profitability level will be.

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APA: Copy

ABRISHAMI, HAMID, BEHRADMEHR, NAFISEH, & tahmasebi, narges. (2019). Valuation of Iran’ s Crude Oil Swap Contracts with Caspian Countries via the Approach of Financial Derivatives. TAHGHIGHAT-E-EGHTESADI, 53(4 ), 755-778. SID. https://sid.ir/paper/11665/en

Vancouver: Copy

ABRISHAMI HAMID, BEHRADMEHR NAFISEH, tahmasebi narges. Valuation of Iran’ s Crude Oil Swap Contracts with Caspian Countries via the Approach of Financial Derivatives. TAHGHIGHAT-E-EGHTESADI[Internet]. 2019;53(4 ):755-778. Available from: https://sid.ir/paper/11665/en

IEEE: Copy

HAMID ABRISHAMI, NAFISEH BEHRADMEHR, and narges tahmasebi, “Valuation of Iran’ s Crude Oil Swap Contracts with Caspian Countries via the Approach of Financial Derivatives,” TAHGHIGHAT-E-EGHTESADI, vol. 53, no. 4 , pp. 755–778, 2019, [Online]. Available: https://sid.ir/paper/11665/en

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