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

 

Editorial Advisory Board

Journal's Reviewers
 

Description and Aims

Submission of Articles

Areas and Subareas

Information to Contributors

Editorial Peer Review Methodology


Information Management Processes for Extraction of Student Dropout Indicators in Courses in Distance Mode
Renata Maria Abrantes Baracho, Paloma de Albuqyerque Diesel
(pages: 1-6)

Tools for Teaching Mathematical Functions and Geometric Figures to Tactile Visualization through a Braille Printer for Visual Impairment People
Lorena León, Luiz Cesar Martini, Cristhian Moreno-Chaparro
(pages: 7-10)

A Project-Based Language Learning Model for Improving the Willingness to Communicate of EFL Students
Ibrahim Farouck
(pages: 11-18)

Educating Future Coders with a Holistic ICT Curriculum and New Learning Solutions
Pia Niemelä, Cristiano Di Flora, Martti Helevirta, Ville Isomöttönen
(pages: 19-23)

Challenges with Ethical Behavior and Accountability in Leadership
Laura Thompson
(pages: 24-29)

Biotreatment of Slaughterhouse Wastewater Accompanied with Sustainable Electricity Generation in Microbial Fuel Cell
Zainab Z. Ismail, Ali J. Mohammed
(pages: 30-35)

Towards to a Predictive Model of Academic Performance Using Data Mining in the UTN - FRRe
David L. La Red Martínez, Marcelo Karanik, Mirtha Giovannini, Reinaldo Scappini
(pages: 36-41)

SIGMATA: Storage Integrity Guaranteeing Mechanism against Tampering Attempts for Video Event Data Recorders
Hyuckmin Kwon, Seulbae Kim, Heejo Lee
(pages: 42-47)

Hypertextuality in the Alexander von Humboldt Digital Library
Detlev Doherr, Andreas Jankowski
(pages: 48-53)

The Time Diagram Control Approach for the Dynamic Representation of Time-Oriented Data
Rolf Dornberger, Darjan Hil, Johann Wittwer, Pascal Bürgy
(pages: 54-60)

Q-Learning Multi-Objective Sequential Optimal Sensor Parameter Weights
Raquel Cohen, Mark Rahmes, Kevin Fox, George Lemieux
(pages: 61-66)

Multi-User Virtual Reality Therapy for Post-Stroke Hand Rehabilitation at Home
Daria Tsoupikova, Kristen Triandafilou, Greg Rupp, Fabian Preuss, Derek Kamper
(pages: 67-71)

Adding agility to Enterprise Process and Data Engineering
Sergey Zykov, Pavel Shapkin, Nikolay Kazantsev, Vladimir Roslovtsev
(pages: 72-77)

Automatic Parallelization Tool: Classification of Program Code for Parallel Computing
Mustafa Basthikodi, Waseem Ahmed
(pages: 78-82)

Securing Information Systems in an Uncertain World Enterprise Level Security (Invited Article)
William R. Simpson
(pages: 83-90)


 

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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