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

www.iiis.org
 

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Web X-Ray: Developing and Adopting Web Best Practices in Enterprises
Reinaldo Ferreira
(pages: 1-6)

The Use of MARIE CPU Simulator in Computer Architecture Course: A Case Study of Student's Perception of Learning and Performance
Jorge Fernando Maxnuck Soares, Luís Tadeu M. Raunheitte, Takato Kurihara
(pages: 7-13)

A Paradigm for Systems Thinking as a Real-Time Approach for Human Adaptation in the 21st Century
Melissa J. Mills
(pages: 14-21)

Exploring the Synergies between Teaching and Consulting: The Baldrige National Quality Award Experience
Ramachandran Natarajan
(pages: 22-25)

Now What? Think Fast: Using Healthcare Clinics as Universal Language to Maximize Learning for International Students in a Graduate Classroom
Sanda Katila
(pages: 26-37)

Quality Management in Education: A Comparative Case Study in Swedish Municipalities
Per-Olof Hansson, Elin Wihlborg
(pages: 38-42)

Introducing Problem-Solving Method in the Business School of a Brazilian University
Lilian A. P. Miguel, Adilson Caldeira
(pages: 43-48)

Academic Formation and Formative Research Integration Management for the Culmination of Studies Process in Higher Education
Lorna Cruz Rizo, Eneida Catalina Matos Hernández
(pages: 49-55)

Understanding the Process and Success Factors to Increase Synergies between Research and Teaching
Deborah Ballou, Brian Huguenard, Brian Nagy, Curtis Armstrong, Tor Guimaraes
(pages: 56-59)

Getting Smart: Need to Focus on Creating an Enabling Environment Structured Around the Objective of Realizing the True Potential of Our Next Generations
Hassan Sattar, Sadaf Nazir
(pages: 60-65)

How to Efficiently Conduct an IT Audit – In the Perspective of Research, Consulting and Teaching
Gabriel Felley, Rolf Dornberger
(pages: 66-70)

Breaking the Boundaries: Academic Applications of Multidisciplinary Research in Computer Science and Dentistry
Patricia Witt, José Ignacio Peláez, Gustavo Vaccaro
(pages: 71-75)


 

Abstracts

 


ABSTRACT


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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