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


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Re-Published in
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(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


New Electronic Technology Applied in Flexible Organic Optical System
Andre F. S. Guedes, Vilmar P. Guedes, Simone Tartari, Mônica L. Souza, Idaulo J. Cunha
(pages: 1-4)

The Internet as Social System: Applying Margaret Archer's Theory of Morphogenesis to Hypermedia Communication
Dee Pratt
(pages: 5-9)

Near Real Time Discovery and Conversion of Open Source Information to a Reward Matrix
Mark Rahmes, Kathy Wilder, Harlan Yates, Kevin Fox
(pages: 10-15)

A Model of Inter and Multi Disciplinary Domains, and their Mutual Interactions
Ophir Dan
(pages: 16-20)

Discovery of Strong Association Rules for Attributes from Data for Program of All-Inclusive Care for the Elderly (PACE)
Shen Lu, Alfred Sears, Joseph Radich, Richard Segall, Thomas Hahn
(pages: 21-26)

Interactive Level Design for iOS Assignment Delivery: A Case Study
Anson Brown, Alireza Tavakkoli, Donald Loffredo, Hashimul Ehsan
(pages: 27-38)

Towards an Understanding of the Impacts of Localized Real Case Studies
Mathews Nkhoma, Narumon Sriratanaviriyakul, Hiep Cong Pham, Tri Khai Lam, Quynh Bao Nhu Nguyen
(pages: 39-45)

Computational Analysis of the 2415-3S Airfoil Aerodynamic Performance
Luis Velázquez-Araque, Jirí Nožicka
(pages: 46-51)

Time and Frequency Resource Allocation Using Graph Theory in OFDMA Wireless Mesh Networks
Miri Priesler (Moreno), Arie Reichman
(pages: 52-57)

The Peer Review Process: An Expanded Role for Repositories
Joanna Richardson, Malcolm Wolski
(pages: 58-62)

Organic Matter Effect on Glomus Intrarradices in Beans (Phaseolus Vulgaris L.) Growth Cultivated in Soils with Two Sources of Water under Greenhouse Conditions
A. K. Gardezi, S. R. Márquez-Berber, B. Figueroa-Sandoval, G. Almaguer-Vargas, U. Larqué-Saavedra, M. J. Escalona-Maurice
(pages: 63-68)

Interactive Pre-Simulation Strategies: Engaging Students in Experiential Learning from the Start
Beverly J. D. Bye
(pages: 69-75)

Separation-Mixing as a Model of Composition Evolution of any Nature
Tomas G. Petrov
(pages: 76-81)

Creative Engineering for 2020
Sami Khorbotly, Mark M. Budnik
(pages: 82-90)


 

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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