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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No Warranty Express or Implied: Why Do We Have So Many Problems With the Computer Systems That Pervade Our Lives?
John W. Coffey
(pages: 1-6)

Can You Hear Me Now? An Innovative Approach to Assess and Build Connections with Online Learner’s
Tina M. Serafini, Risa Blair
(pages: 7-11)

End-to-end Security with Translation
Kevin E. Foltz
(pages: 12-17)

(Assistive) Technology at the Point of Instruction: Barriers and Possibilities
Lorayne Robertson
(pages: 18-24)

Supplementing Multiple Modalities and Universal Design in Learning with Goal-Setting
Russell Jay Hendel
(pages: 25-30)

Experts Informing Experts
Robert Hammond
(pages: 31-35)

Internet of Things – A New Epistemic Object
Rolf Dornberger, Terry Inglese, Safak Korkut
(pages: 36-44)

An Experiment in Interdisciplinary STEM Education: Insights from the Catholic Intellectual Tradition
Fr. Joseph R. Laracy, Thomas Marlowe, Fr. Gerald J. Buonopane
(pages: 45-53)

Big History Understanding of Complexity, Informatics and Cybernetics
John L. Motloch
(pages: 54-60)

Flourishing Organizations
Maria Jakubik
(pages: 61-72)

Pros & Cons of Smart ICT in Some Governmental Applications
Dusan Soltes
(pages: 73-75)

Information Exchange in Vehicles Ad-Hock Networks
Tomas Zelinka
(pages: 76-80)

Living in a Digital World: Improving Skills to Meet the Challenges of Digital Transformation Through Authentic and Game-Based Learning
Margit Scholl, Frauke Fuhrmann
(pages: 81-86)

Psychotherapy via the Internet as a Novel Tool for Clinical Use
Ulrich Sprick
(pages: 87-94)

Technology Intercepts for Cyber Security Applied to Critical Infrastructures
Mario La Manna
(pages: 95-100)

“And Then a Miracle Occurs …” – Engaging the Challenge of Operationalizing Theories of Success in Digital Transformation
Michael Von Kutzschenbach
(pages: 101-105)

Multidisciplinary Learning Extends Communication Skill, and Helps Cross Cultural Understandings: Biomedical Engineering
Shigehiro Hashimoto
(pages: 106-112)

Integrating Teaching, Research and Problem Solving: An Experience in Progress in the Mucuri Valley Region (Brazil)
Leônidas Conceição Barroso
(pages: 113-118)

Meeting Learning Challenges in Product Design Education with and through Additive Manufacturing
William Lavatelli Kempton, Steinar Killi, Andrew Morrison
(pages: 119-129)

Creating and Using Symbolic Mental Structures via Piaget’s Constructivism and Popper’s Three Worlds View with Falsifiability to Achieve Critical Thinking by Students in the Physical Sciences
Matthew E. Edwards
(pages: 130-134)

Creativity in Higher Education: Comparative Genetic Analyses on the Dopaminergic System in Relation to Creativity, Addiction, Schizophrenia in Humans and Non-Human Primates
Bernard Wallner, Sonja Windhager, Katrin Schaefer, Martin Fieder
(pages: 135-142)


 

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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