Journal of
Systemics, Cybernetics and Informatics

ISSN: 1690-4524 (Online)

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Editorial Advisory Board's Chair
William Lesso

Nagib C. Callaos

Sponsored by
The International Institute of
Informatics and Systemics


Editorial Advisory Board

Journal's Reviewers

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Submission of Articles

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Information to Contributors

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Influence of the Training Methods in the Diagnosis of Multiple Sclerosis Using Radial Basis Functions Artificial Neural Networks
Ángel Gutiérrez
(pages: 1-6)

Improving Real Time Motor Skills in Physical Education by Virtual Computerized Technology Training. A Successful Attempt at Teaching Novice Computer Users.
Esther Zaretsky
(pages: 7-13)

Cyber Safety Education in Developing Countries
Rossouw Von Solms, Suné Von Solms
(pages: 14-19)

CRIS: A Rule-Based Approach for Customized Academic Advising
Chung-Wei Yeh
(pages: 20-24)

Competition-Stability Relationship in the Banking Sector
Jelena Titko, Konstantins Kozlovskis, Gulbakhyt Kaliyeva
(pages: 25-31)

Effectiveness and Utility of a Case-Based Model for Delivering Engineering Ethics Professional Development Units
Heidi Ann Hahn
(pages: 32-37)

New Organic Semiconductor Materials Applied in Organic Photovoltaic and Optical Devices
Andre F. S. Guedes, Vilmar P. Guedes, Simone Tartari, Mônica L. Souza, Idaulo J. Cunha
(pages: 38-40)

Implementation of Massive Agent Model Using Repast HPC and GPU
Shinsaku Segawa, Shofuku Kin, Hidenori Kawamura, Keiji Suzuki
(pages: 41-45)

The IT - Information Technology Governance and points to be considered in its practical implementation in Corporations
Altino José Mentzingen de Moraes
(pages: 46-50)

Price System for Water Supply and its Economic Impact Analysis
Jing Zhao, Hongzhen Ni, Genfa Chen, Jifeng Li, Shujun Bao
(pages: 51-57)

The Decision Support in Electricity Generation: A Model of Integrated Parameters and Indicators
Renata Maria Abrantes Baracho, Rogério Amaral Bonatti, Francisco Ricardo A. C. Baracho, Christiano Pessanha, Marina M. Starling Rezende, Cláudio Homero Ferreira Silva
(pages: 58-63)

Network Complexity Measures. An Information-Theoretic Approach.
Matthias Dehmer, Stefan Pickl
(pages: 64-67)

Participation in Information Markets Research: A New Conceptualization and Measurement
Khalid N. Alhayyan
(pages: 68-76)

Urban Stage 2014: Navigating Relationships during a Collaboration between Local Businesses, Nonprofits, a Large University, and a Mid-Sized City
David A. Driskill, Timothy J. Elliot
(pages: 77-83)

The Application of Karl Popper’s Three Worlds Schema to Questions about Information in the Fields of Complexity, Cybernetics, and Informatics
Paul D. Nugent, Richard Montague, Emilio Collar Jr.
(pages: 84-88)

Developing a GIS for Rural School Transportation in Minas Gerais, Brazil
Marcelo Franco Porto, Stanislas Thiéry, Nilson Tadeu Ramos Nunes, Izabela Ribas Vianna de Carvalho, João Fernando Machry Sarubbi, Cristiano Maciel da Silva
(pages: 89-94)





Monte Carlo Simulation of an American Option

Gikiri Thuo

We implement gradient estimation techniques for sensitivity analysis of option pricing which can be efficiently employed in Monte Carlo simulation. Using these techniques we can simultaneously obtain an estimate of the option value together with the estimates of sensitivities of the option value to various parameters of the model. After deriving the gradient estimates we incorporate them in an iterative stochastic approximation algorithm for pricing an option with early exercise features. We illustrate the procedure using an example of an American call option with a single dividend that is analytically tractable. In particular we incorporate estimates for the gradient with respect to the early exercise threshold level.

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