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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Culture Propels the Intersection of Ethos, Pathos, and Logos with Innovation and Entrepreneurship
Marta Szabo White
(pages: 1-6)

INTUITEL and the Hypercube Model - Developing Adaptive Learning Environments
Kevin Fuchs, Peter A. Henning, Mutfried Hartmann
(pages: 7-11)

Baseline Study: Online Oil, Gas and Safety Technology Education for Ohio Residents of a Community Based Corrections Facility
George Ash, Alexis Benner
(pages: 12-13)

Causal Bayes Model of Mathematical Competence in Kindergarten
Božidar Tepeš, Gordana Lešin, Ana Hrkac, Krunoslav Tepeš
(pages: 14-17)

Change Requires Change! Information Technology, Student Preparedness and Industry Collaboration: Supporting the Bridging Process between Education and Training with Innovative Solutions
Jill Anne O’Sullivan
(pages: 18-21)

Virtual Learning Environment for Entrepreneurship: A Conceptual Model
Douglas Sparkes, Karin Schmidlin, Mark Hsu
(pages: 22-24)

Student Teachers’ Modeling of Acceleration Using a Video-Based Laboratory in Physics Education: A Multimodal Case Study
Louis Trudel, Abdeljalil Métioui, Gilbert Arbez
(pages: 25-30)

Effectiveness of a Constructivistic Multimedia-Learning Package on Shaping and Guiding Students’ Attitudes Toward Physics
Divya C. Senan, Matthew E. Edwards, Salam Khan, Asha J. Vilasini
(pages: 31-37)

A Preliminary Study of Pelletized Ecuadorian Cocoa Pod Husk for its Use as a Source of Renewable Energy
Luis Velázquez-Araque, José Cárdenas
(pages: 38-42)

Combination of Bayesian and Latent Semantic Analysis with Domain Specific Knowledge
Shen Lu, Richard S. Segall
(pages: 43-50)

Impact of Optimization and Parallelism on Factorization Speed of SIQS
Dominik Breitenbacher, Ivan Homoliak, Jiri Jaros, Petr Hanacek
(pages: 51-58)

Searching the Web for Earth Science Data: Semiotics to Cybernetics and Back
Bruce R. Barkstrom
(pages: 59-63)

Hybrid Optical Devices: The Case of the Unification of the Electrochromic Device and the Organic Solar Cell
Andre F. S. Guedes, Vilmar P. Guedes, Simone Tartari, Mônica L. Souza, Idaulo J. Cunha
(pages: 64-67)

An Organizational-Technical Concept to Deal with Open Source Software License Terms
Sergius Dyck, Daniel Haferkorn, Jennifer Sander
(pages: 68-73)

Implementing a Hybrid Graduate Program: Lessons Learned One Year Later
Ronda Sturgill, Jacob Wilson, J. C. Andersen
(pages: 74-76)

Creating the Economy of Virtuality: Systemic Aspects and Educational Considerations
Julio Rezende
(pages: 77-83)

Educational Software for the Teaching and Learning of Quadrilaterals Generated from a Programming Language and the Dabeja Method (Invited Paper)
Daniel Bejarano Segura, Piedad Chica Sosa
(pages: 84-89)





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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