Most of the options today use the Black-Scholes model as the basis in valuing their price. This conventional model involves the elements that are strictly prohibited in Islam namely riba, gharar and maisir. Hence, this paper introduces a new mathematical model that has been adapted with mudharabah principle to replace the Black-Scholes model. This new model which is more compatible with Islamic values produces a new Islamic option which avoids any form of oppression and injustice to all parties involved.