قيمت گذاري صكوك مشاركت با استفاده از بازدهي انتظاري آن (مطالعه موردي فرابورس ايران)

Pricing Sukuk of Mushurakah Ventures Using its Expected Return; (A case study of Iran OTC)

اﻧﺘﺸﺎر اوراق ﺻﻜﻮك( ﻣﺸﺎرﻛﺖ ﻳﻜﻲ از روش ﻫﺎي ﺗـﺄﻣﻴﻦ ﻣـﺎﻟﻲ اﺳـﺖ ﻫﺮﭼﻨـﺪ ﺗـﺎﻛﻨﻮن اوراق ﻣﺸﺎرﻛﺖ در ﻋﻤﻞ ﺑﺎ روح ﻋﻘﺪ ﻣﺸﺎرﻛﺖ ﺗﻨﺎﺳﺐ زﻳﺎدي ﻧﺪارد، وﻟﻲ اﻳﻦ اﺑﺰار در ﻧﻈﺎم ﻣﺎﻟﻲ ﺑﻪ وﻳـﮋه ﻓﺮاﺑﻮرس ﻣﻨﺘﺸﺮ و اﺳﺘﻔﺎده ﻣﻲ ﺷـﻮد اوراق( ﻣﺸـﺎرﻛﺖ اﻳـﻦ وﻳﮋﮔـﻲ را دارد ﻛـﻪ ﻗﺎﺑـﻞ ﺧﺮﻳﺪوﻓﺮوش ﭘﻴﺶ از ﺳﺮرﺳﻴﺪ و ﻣﺘﻔﺎوت از ﻗﻴﻤـﺖ اﺳـﻤﻲ در ﺑـﺎزار ﺛﺎﻧﻮﻳـﻪ اﺳـﺖ در ﻓﺮاﺑـﻮرس ﻛﺸﻮر، ﻗﻴﻤﺖ ﮔﺬاري ﺻﻜﻮك ﺑﺪون ﺗﻮﺟﻪ ﺑﻪ ﻧﺮخ ﺑﺎزده اﻧﺘﻈـﺎري و ﺑـﺎ روش ﺣـﺮاج ﻳـﺎ ﻣـﺬاﻛﺮه ﺻﻮرت ﻣﻲ ﮔﻴﺮد ﻛﻪ اﺷﻜﺎل دارد. در اﻳﻦ ﻣﻘﺎﻟﻪ ﻣﺪل ﻗﻴﻤﺖ ﮔﺬاري ﺻﻜﻮك ﻣﺸﺎرﻛﺖ ﺑﺎ اﺳﺘﻔﺎده از ﺑﺎزدﻫﻲ اﻧﺘﻈﺎري و در ﻗﺎﻟﺐ ﻳـﻚ ﻣﻌﺎدﻟﻪ دﻳﻔﺮاﻧﺴﻴﻞ ﺗﺼﺎدﻓﻲ اراﺋﻪ ﺷﺪه و اﻳﻦ ﻣﺪل دﻳﻔﺮاﻧﺴﻴﻞ ﺗﺼﺎدﻓﻲ ﺑﺎ اﺳﺘﻔﺎده از ﺳﺒﺪ ﺧـﻮد ﺗـﺄﻣﻴﻦ ﺑﻪ ﻳﻚ ﻣﻌﺎدﻟﻪ دﻳﻔﺮاﻧﺴﻴﻞ ﺟﺰﺋﻲ ﺗﺒﺪﻳﻞ و ﺳﭙﺲ ﺑﺎ روش ﻋﺪدي ﺗﻔﺎﺿﻼت ﻣﺘﻨﺎﻫﻲ ﺣﻞ ﺷـﺪه اﺳـﺖ ﺳﺮاﻧﺠﺎم ﺑﺎ اﺳﺘﻔﺎده از داده ﻫﺎي ﻓﺮاﺑﻮرس اﻳﺮان و ﺑﺎ اﺳﺘﻔﺎده از ﻛﺪ ﻧﻮﻳﺴﻲ در ﻧﺮم اﻓﺰار ﻣﺘﻠﺐ، ﻓﺮاﻳﻨﺪ ﻗﻴﻤﺖ ﮔﺬاري ﺻﻜﻮك ﻣﺸﺎرﻛﺖ ﺑﻪ ازاي ﺑﺎزدﻫﻲ ﻫﺎي اﻧﺘﻈﺎري ﻣﺨﺘﻠﻒ اﻧﺠـﺎم و ﻣﺸـﺨﺺ ﺷـﺪ ﺑـﺎ اﻓﺰاﻳﺶ ﺑﺎزدﻫﻲ اﻧﺘﻈﺎري، ﻗﻴﻤﺖ ﺻﻜﻮك ﻣﺸﺎرﻛﺖ اﻓﺰاﻳﺶ ﻣﻲ ﻳﺎﺑﺪ ﻛـﻪ ارﺗﺒـﺎط ﻣﺴـﺘﻘ ﻴﻢ ﺑـﺎزدﻫ ﻲ اﻧﺘﻈﺎري و ﻗﻴﻤﺖ ﺻﻜﻮك، در ادﺑﻴﺎت ﻣﺎﻟﻲ ﻧﻴﺰ ﻣﻮرد ﺗﺄﻳﻴﺪ اﺳﺖ.

Issuance of Musharakah bonds (Sukuk) is one of the methods of financing. Although in practice, the securities of the Mushurakah are not commensurate with the spirit of the Mushurakah, they are widely used in the financial system, especially in Iran OTC. Mushurakah bonds (Sukuk) has the feature that can be bought and sold before maturity and is different from the nominal price in the secondary market. Across the country, Sukuk pricing is done irrespective of the expected rate of return and with the auction or negotiation method, which is flawed. In this paper, the Mushurakah bonds (Sukuk) pricing model using expected return in the form of a stochastic differential equation is presented and this stochastic differential model is transformed into a partial differential equation using the self-financing basket and then solved by numerical finite difference method. Finally, using Iranian crossover data and coding in MATLAB software, the Mushurakah bonds (Sukuk) pricing process was performed for different expected returns and it was found that with the increase of expected return, the price of the Mushurakah bonds (Sukuk) increases that the direct relationship between expected return and the price of sukuk is also confirmed in the finance's literature.