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


Indexed by
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Re-Published in
Academia.edu
(A Community of about 10.000.000 Academics)


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

 

Editorial Advisory Board

Journal's Reviewers
 

Description and Aims

Submission of Articles

Areas and Subareas

Information to Contributors

Editorial Peer Review Methodology


Bring Your Own Device Technology: Preliminary Results from a Mixed Methods Study to Explore Student Experience of In-Class Response Systems in Post-Secondary Education
Matthew Numer, Rebecca Spencer
(pages: 1-6)

An Evaluation of Relevance of Computing Curricula to Industry Needs
Ioana Chan Mow, Hobert Sasa, Foilagi Maua-Faamau, Elisapeta Mauai, Misioka Tanielu
(pages: 7-12)

Agriculture/Hydroaquaoponic Bioscience Sensor - Mobile App with Simulations & Software for Industry & Science Education Curriculum Module
Christine M. Yukech
(pages: 13-16)

Survival through Openness – How Traditional Industry could avoid the Fate of Print Media
Tobias Redlich, Manuel Moritz, Pascal Krenz, Sonja Buxbaum-Conradi, Sissy-Ve Basmer-Birkenfeld, Jens P. Wulfsberg
(pages: 17-24)

A Case Study in Support of Multiple Post Mortem Assessments (Invited Paper)
Jill Pable, Kenan Fishburne
(pages: 25-35)

Determining the Relationship between U.S. County-Level Adult Obesity Rate and Multiple Risk Factors by PLS Regression and SVM Modeling Approaches
Chau-Kuang Chen
(pages: 36-41)

Can Culture Act as an Enabler to Innovation? Exploring the Germany-Ontario Experience Regarding the Introduction of Green Energy
Bill Irwin, Jan A.C. Klakurka
(pages: 42-47)

Science and Math Lesson Plans to Meet the Ohio Revised Science Standards and the Next Generation of Standards for Today; Technology (Excel)
Suzanne Lunsford, Basil Naah
(pages: 48-50)

Statistical Modelling of Global Tectonic Activity and some Physical Consequences of its Results
Konstantin Statnikov, Gregory Kruchenitsky
(pages: 51-55)

Monitoring and Control of Urban Critical Infrastructures: A Novel Approach to System Design and Data Fusion
Mario La Manna
(pages: 56-60)

Modeling State Space Search Technique for a Real World Adversarial Problem Solving
Kester O. Omoregie, Stella C. Chiemeke, Evelyn B. Oduntan
(pages: 61-66)

Evaluating Loans Using a Combination of Data Envelopment and Neuro-Fuzzy Systems
Rashmi Malhotra, D.K. Malhotra
(pages: 67-77)

Worksheet of Exogenous Variables that Impact the Success of Validation Stage of Product Delivery of a Project
Altino José Mentzingen de Moraes
(pages: 78-83)

Collect Meaningful Information about Stock Markets from the Web
Saleem Abuleil, Khalid Alsamara
(pages: 84-90)


 

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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