A dynamic modeling of future pricing for investment asset with known income

Subject Areas : Financial Knowledge of Securities Analysis

Reza Tehrani ¹ , Amirali Abbaszadeh Asl ² , masoud Fekri ³

1 - Associate Professor, Faculty member of Tehran University
2 - MA of Industrial Engineering, Tehran University
3 - MA of Industrial Engineering, Tehran University

Received: 2014-04-04 Accepted : 2014-05-10 Published : 2014-12-22

Keywords: system dynamic approach, future pricing, asset with known income, arbitrage opportunities, Simulation,

Abstract :

There are different ways of system analysis. System thinking is a novel and very effective method in this field. Actually, system dynamic approach offers a dynamic model of a process in the real world and systematically analyzes related factors. In other words, it indicates the influence of changes on each effective factor on the entire system in each moment. In this paper, primarily, a dynamic model is proposed by investigating different effective factors on future price of assets which include known income and the way of arbitrage opportunities with non-correct prices are simulated. Thus, scenarios are offered to illustrate the changes of different effective factors on system and arbitrage opportunities made as a result to these changes