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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Micro Groove for Trapping of Flowing Cell
Yusuke Takahashi, Shigehiro Hashimoto, Haruka Hino, Atsushi Mizoi, Nariaki Noguchi
(pages: 1-8)

Behavior of Cell on Vibrating Micro Ridges
Haruka Hino, Shigehiro Hashimoto, Shoma Nishino, Yusuke Takahashi, Hiromi Sugimoto
(pages: 9-16)

Simulation as an Education Tool
Tennó Daiki, Péter Szlávi, László Zsakó
(pages: 17-21)

Educators of the Information Society: Information Literacy Instruction in Canadian Informational Cities
Maria Henkel
(pages: 22-27)

Expat University Professors' State of Psychological Well-Being and Academic Optimism towards University Task in UAE
Luis Guanzon Rile Jr., Nemia Ledesma Tan, Neda June Salazar
(pages: 28-33)

What Do Deep Statistical Analysis on Gaming Motivation and Game Characteristics Clusters Reveal about Targeting Demographics when Designing Gamified Contents?
Alireza Tavakkoli, Donald Loffredo, Mark Ward Sr.
(pages: 34-40)

Acceptance and Quality Perceptions of Social Network Services in Cultural Context: Vkontakte as a Case Study
Katsiaryna S. Baran, Wolfgang G. Stock
(pages: 41-46)

Paperless Office: A New Proposal for Organizations
Sandra-Dinora Orantes-Jiménez, Alejandro Zavala-Galindo, Graciela Vázquez-Álvarez
(pages: 47-55)

Security Compliance-New Insight from Goal Orientations and Self-Regulation Theory
Cong Hiep Pham, Mathews Nkhoma
(pages: 56-61)

Applied Research on Big-Data-Based Analysis of Chinese Basic Education Integrating Social Values —Taking Chinese Education from 3rd to 6th Grade as Example
Shuqin Zhao, Huaqi Chen, Jang-Ruey Tzeng, Ann Gloghienette Orais Perez
(pages: 62-67)

Using Statistical Properties to Enhance Text Categorization
Rached Zantout, Ziad Osman
(pages: 68-74)

Gender Prediction by Gait Analysis Based on Time Series Variation of Joint Positions
Ryusuke Miyamoto, Risako Aoki
(pages: 75-82)

Modeling Evidence-Based Application: Using Team-Based Learning to Increase Higher Order Thinking in Nursing Research
Bridget Moore, Jennifer Styron, Kristina Miller
(pages: 83-88)

Evaluation and Modeling of the Variation of Electromagnetic Field on the Cross Section of a Transmission Line Using Finite Difference Method
Jorge I. Silva O., Hernán Hernández H., Elibardo J. Gomez S.
(pages: 89-93)





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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