A New Approach to Determine Optimized Stock Insurance Contract in Tehran Stock Exchange

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BAMANI MOGHADAM MOHAMMAD; Pouralizadeh Mostafa; ESMAEILPOUR MOGHADAM HADI

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Journal Paper

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Journal: ECONOMIC RESEARCH REVIEW Year:2019 | Volume:19 | Issue:72 Page(s): 185-204

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Title

A New Approach to Determine Optimized Stock Insurance Contract in Tehran Stock Exchange

Author(s)

BAMANI MOGHADAM MOHAMMAD | Pouralizadeh Mostafa | ESMAEILPOUR MOGHADAM HADI | Issue Writer Certificate

Keywords

Insurance ContractQ1

StockQ3

Risk ManagementQ2

Abstract

The purpose of this study is to determine an optimized Stock Insurance Contract in Tehran Stock Exchange. First of all, based on a financial management problem, a Risk Management contract is designed to minimize the risk of loss that an agent might face. Then, with a mathematical modeling, we will see that to efficiently manage the Stock risk, we need to make sure that only multi-layer contracts, or equivalently, European call options are correctly valued. Therefore, the optimized Insurance Contract is determined by correct pricing of European call options. Studying more deeply in this area by implementing the proposed algorithm on Tehran Stock exchange shows that the optimized value of the Insurance Contract is a small percentage of the Stock initial price; furthermore, it is also a function of the Stock return fluctuation. Hence, the volatility and the price of Insurance Contract are positively correlated. In other words, the more a Stock is volatile, the more expensive is an Insurance Contract.

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APA: Copy

BAMANI MOGHADAM, MOHAMMAD, Pouralizadeh, Mostafa, & ESMAEILPOUR MOGHADAM, HADI. (2019). A New Approach to Determine Optimized Stock Insurance Contract in Tehran Stock Exchange. ECONOMIC RESEARCH REVIEW, 19(72 ), 185-204. SID. https://sid.ir/paper/372554/en

Vancouver: Copy

BAMANI MOGHADAM MOHAMMAD, Pouralizadeh Mostafa, ESMAEILPOUR MOGHADAM HADI. A New Approach to Determine Optimized Stock Insurance Contract in Tehran Stock Exchange. ECONOMIC RESEARCH REVIEW[Internet]. 2019;19(72 ):185-204. Available from: https://sid.ir/paper/372554/en

IEEE: Copy

MOHAMMAD BAMANI MOGHADAM, Mostafa Pouralizadeh, and HADI ESMAEILPOUR MOGHADAM, “A New Approach to Determine Optimized Stock Insurance Contract in Tehran Stock Exchange,” ECONOMIC RESEARCH REVIEW, vol. 19, no. 72 , pp. 185–204, 2019, [Online]. Available: https://sid.ir/paper/372554/en

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