Journal of
Systemics, Cybernetics and Informatics
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ISSN: 1690-4524 (Online)


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Editorial Advisory Board's Chair
William Lesso

Editor-in-Chief
Nagib C. Callaos


Sponsored by
The International Institute of
Informatics and Systemics

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Behavior of Cell in Uniform Shear Flow Field between Rotating Cone and Stationary Plate
Shigehiro Hashimoto, Hiromi Sugimoto, Haruka Hino
(pages: 1-7)

Teachers Continuing Professional Development: Trends in European Countries. Towards Teachers' Professionalism
Liliana Budkowska, Pawel Poszytek
(pages: 8-12)

Play, Connect and Learn: Using Mobile Phones to Improve Early Grade Reading Skills at Home
Ira Joshi
(pages: 13-16)

May Parental Reading Behavior Explain the Gender Differences in Subteeners’ Reading Attitude?
Aniko Joó, Erzsébet Dani
(pages: 17-22)

Leadership and Literacy Processes in School Improvement Creating and Supporting a Community of Success: A Case Study Examining the Principal’s Role in the Reconstitution of a Campus to Transform Literacy and Learning
W. Todd Duncan, Lisa E. Colvin
(pages: 23-28)

Rwandan Collaborative Model for Educator Capacity Building
Andrew Moore, Vincentie Nyangoma, Jaco Du Toit, Peter Wallet, Pascal Rukundo
(pages: 29-35)

Do You Know Where Your Students Are? Digital Supervision and Digital Privacy in Schools
Lorayne Robertson, Laurie Corrigan
(pages: 36-42)

A General Case Study of Complexity Science: Analytical and Logical Interconnection Between Soft and Hard Sciences (Invited Paper)
Jack Jia-Sheng Huang, Yu-Heng Jan
(pages: 43-48)

Novel Application of Immobilized Bacillus Cells for Biotreatment of Furfural-Laden Wastewater
Haneen A. Khudhair, Zainab Z. Ismail
(pages: 49-54)

Reliable Sub-Nanosecond Switching of a Perpendicular SOT-MRAM Cell without External Magnetic Field
Viktor Sverdlov, Alexander Makarov, Siegfried Selberherr
(pages: 55-59)

The Methodology and Implementation of Unique Technology Focused Entrepreneurship/Intrepreneurship Programs
Stephen A. Szygenda, Diana M. Easton
(pages: 60-66)

Intelligent Fault Pattern Recognition of Aerial Photovoltaic Module Images Based on Deep Learning Technique
Xiaoxia Li, Qiang Yang, Wenjun Yan, Zhebo Chen
(pages: 67-71)

Real-Time Implementation of Model Predictive Control in a Low-Cost Embedded Device
John Espinoza, Jorge Buele, Esteban X. Castellanos, Marco Pilatásig, Paulina Ayala, Marcelo V. García
(pages: 72-77)

Real-Time Sentimental Polarity Classification on Live Social-Media
Khalid N. Alhayyan, Imran Ahmad
(pages: 78-84)

Information Modeling and Information Retrieval for the Internet of things (IoT) in Buildings
Renata Baracho, Izabella Cunha, Mário Lúcio Pereira Junior
(pages: 85-91)


 

Abstracts

 


ABSTRACT


Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method

Fei Lung Yuen, Hailiang Yang


In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM). The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian process. However, when the parameters of the stock price model are not constant but governed by a Markovian process, the pricing of the options becomes complex. We present a fast and simple trinomial tree model to price options in MRSM. In recent years, the pricing of modern insurance products, such as Equity-Indexed annuity (EIA) and variable annuities (VAs), has become a popular topic. We show here that our trinomial tree model can been used to price EIA with strong path dependent exotic options in the regime switching model.

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