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


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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


Zooming in, Zooming Out: A Framework for Hierarchical Genetic Algorithms
Jennifer Seitzer
(pages: 1-5)

Perceptions of Electronic Health Records in Mississippi
Jennifer L. Styron, Barry Cumbie
(pages: 6-12)

A Problem-Solving Approach to Teaching Creativity for Engineering and Other Disciplines
Chelsey Bradford, Zachary Balgeman, Fernando Aguilar, Sami Khorbotly, Mark M. Budnk
(pages: 13-17)

Measurement of Flow Properties of Mammalian Blood with Different Hematocrit Values Using Falling Needle Rheometer
Takamasa Suzuki, Sadao Araki, Hideki Yamamoto, Kimito Kawamura, Hiroko Aida, Dominik Bernitzky, Roberto Plasenzotti
(pages: 18-20)

New FACTS Equipment in an Enhanced Version of Smart Grids. The Magnetic Gate
Julio Enrique Posada C.
(pages: 21-25)

Analysis of Air Flow Past and through the 2415-3S Airfoil for an Unmanned Aerial Vehicle with Internal Propulsion System
Luis D. Mendoza, Jirí Nožicka
(pages: 26-31)

Cognitive Analytics: A Step Towards Tacit Knowledge?
Fred A. Maymir-Ducharme, Lee A. Angelelli
(pages: 32-38)

Comparison of Alternative Processes for Support Decisions
Manuel Martínez-Álvarez, Sandra-Dinora Orantes-Jiménez, Graciela Vázquez-Álvarez
(pages: 39-46)

Extensive Investigations on Bio-Inspired Trust and Reputation Model over Hops Coefficient Factor in Distributed Wireless Sensor Networks
Vinod Kumar Verma
(pages: 47-52)

Water Quantity Prediction Using Least Squares Support Vector Machines (LS-SVM) Method
Nian Zhang, Charles Williams, Pradeep Behera
(pages: 53-58)

Specification of Requirements for Visually Impaired Persons in Services in Transportation Electronic Information System
Michal Jerabek, Jan Krcal, Tomas Zelinka
(pages: 59-63)

Telematics System dedicated for Provisioning of On-Line Information about Predicted Occupancy of Highway Parking Areas
Tomas Zelinka, Michal Jerabek, Martin Srotyr, Zdenek Lokaj, Petr Kumpost
(pages: 64-68)

Insights from Massively Multiplayer Online Role Playing Games to Enhance Gamification in Education
Alireza Tavakkoli, Donald Loffredo, Mark Ward Sr.
(pages: 69-78)

Evaluation of Uncertainty on the Stages of Business Cycle: Implementation of Quantum Principles
Anna Svirina, Elena Parfenova, Elena Shurkina
(pages: 79-85)

The Major Milestones to Constitute SINTONÍA, an Institute for Collaboration (IFC)
Judith Cortés Zurita, José Pablo Nuño
(pages: 86-90)


 

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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