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All Journal Journal of the Indonesian Mathematical Society PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON DATA SCIENCE AND OFFICIAL STATISTICS
Abdurakhman .
Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia.
Computer Science & IT Mathematics

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NON AUTOMATICALLY EXERCISED (NAE) EUROPEAN CAPPED CALL PRICING THEORY ., Subanar; Guritno, Suryo; S., Zanzawi; ., Abdurakhman
Journal of the Indonesian Mathematical Society Volume 13 Number 2 (October 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.2.69.215-221

Abstract

The objective of this paper is to present a methodology for deriving Black Scholes formulae via a simple lognormal distribution approach and introduce European capped non automatically exercise (NAE) call option pricing theory. DOI : http://dx.doi.org/10.22342/jims.13.2.69.215-221
Development of Best Beta CAPM with Adjustment of Sharia Elements: A Case Study on Sharia Stocks in Indonesia Aziz, Abdul; ., Supriyanto; ., Abdurakhman
Proceedings of The International Conference on Data Science and Official Statistics Vol. 2025 No. 1 (2025): Proceedings of 2025 International Conference on Data Science and Official St
Publisher : Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/icdsos.v2025i1.663

Abstract

This paper introduces the Best Sharia-based Capital Asset Pricing Model (BSCAPM), a modification of the BCAPM model integrating Islamic finance principles. This study focuses on optimizing the beta parameter within the model by integrating Sharia-compliant factors such as zakat and purification, while excluding short-selling practices. Using data from the Jakarta Islamic Index (JII) from June 2020 to November 2024, the BSCAPM portfolio outperforms the BCAPM portfolio in terms of the Sharpe ratio. The findings indicate that the BSCAPM serves as a viable alternative framework for Islamic investment modelling, providing Muslim investors with a Sharia-compliant, optimal portfolio formation model. The research contributes to the underexplored domain of portfolio selection modelling in the Islamic sector, enriching references on asset pricing in Sharia portfolios, particularly in the Indonesian Sharia stock market.
Co-Authors Abdul Aziz Subanar . Supriyanto . Suryo Guritno Zanzawi S.