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


Indexed by
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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


How to Learn Multidisciplinary Ideas
Shigehiro Hashimoto
(pages: 1-7)

The HY-DE Model: An Interdisciplinary Attempt to Deal with the Phenomenon of Hyperattention
Erzsebet Dani
(pages: 8-14)

Open up or Close down - The new Era of “Openneers” and how they lead the Way to Future Success
Manuel Moritz, Tobias Redlich, Pascal Krenz, Sonja Buxbaum-Conradi, Sissy Basmer-Birkenfeld, Jens P. Wulfsberg
(pages: 15-22)

Developing Global Competency across the Disciplines: An Interdisciplinary Project
Madelyn Flammia, Houman Sadri
(pages: 23-27)

Knowledge Management Systems as an Interdisciplinary Communication and Personalized General-Purpose Technology
Ulrich Schmitt
(pages: 28-37)

Work Integrated Learning - a Marriage Between Academia and Working Life
Martin Gellerstedt
(pages: 38-46)

Alexander von Humboldt's Idea of Interconnectedness and its Relationship to Interdisciplinarity and Communication
Detlev Doherr
(pages: 47-51)

A Philosophy of Learning
Jeremy Horne
(pages: 52-56)

Fostering Innovation in Higher Education through Entrepreneurial Leadership
Ronald A. Styron Jr.
(pages: 57-61)

Informational Urbanism
Wolfgang G. Stock
(pages: 62-69)

A Silent Revolution in Reflexivity
Karl H. Müller
(pages: 70-81)

Innovative Approaches to Building Comprehensive Talent Pipelines: Helping to Grow a Strong and Diverse Professional Workforce
R. Cherinka, J. Prezzama
(pages: 82-86)

The Multiple Faces of Reflexive Research Designs
Karl H. Müller
(pages: 87-98)

Towards a New Cybernetic Interdisciplinary Approach to Pedagogic Challenge
Russell Jay Hendel
(pages: 99-104)

The Use of Narrative Medicine Literature for Interdisciplinary Communication through the Internet Learning System
Ya-Huei Wang, Pan-Fu Kao, Hung-Chang Liao
(pages: 105-115)

The Interdisciplinary Business Doctorate for Executives: A Novel Way to Bridge Academic Research and Practice
T. Grandon Gill, Matthew Mullarkey
(pages: 116-121)

Concept Mapping and Knowledge Modeling: A Multi-Disciplinary Educational, Informational, and Communication Technology
John W. Coffey
(pages: 122-128)

Multi-Disciplinary Research Experiences Integrated with Industry –Field Experiences
Suzanne Lunsford, Corrie Spradlin, Mary Sullivan, Phuong Khanh Quoc Nguyen
(pages: 129-131)

Consulting Informs Best Practice in Academia
Risa Blair
(pages: 132-133)


 

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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