{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,3,23]],"date-time":"2024-03-23T09:42:57Z","timestamp":1711186977767},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2014,3,1]]},"abstract":"<jats:title>Abstract.<\/jats:title>\n               <jats:p>This paper endeavors to evaluate the computational competency of Monte Carlo in option pricing.\nThe paper compares the price effectiveness of four variants of Monte Carlo, namely variance reduction, Antithetic, IQ, and the Quasi-Monte Carlo, with the classical Black\u2013Scholes model, for the most recent disturbed phase of the economy.\nTo test the quality of variants of Monte Carlo and Black\u2013Scholes this paper uses, as input to the model, three\nwell-known techniques of implied volatility, at-the-money (ATM), volatility index (VIX) and parametric implied volatility (IV).\nThis enables both objectives to be realized simultaneously, and sheds light on the forecasting capabilities of implied volatilities.\nThe research shows that Monte Carlo with parametric implied volatility gives the best performance.\nEmpirical tests show no significant difference between variants of Monte Carlo, nor any effect from the quality of the input parameters.\n<\/jats:p>","DOI":"10.1515\/mcma-2013-0017","type":"journal-article","created":{"date-parts":[[2014,2,28]],"date-time":"2014-02-28T20:19:30Z","timestamp":1393618770000},"page":"61-76","source":"Crossref","is-referenced-by-count":2,"title":["Competency of Monte Carlo and Black\u2013Scholes in pricing Nifty index options: A vis-\u00e0-vis study"],"prefix":"10.1515","volume":"20","author":[{"given":"Vipul Kumar","family":"Singh","sequence":"first","affiliation":[{"name":"Institute of Management Technology, 35 Km Milestone, Katol Road, Nagpur 441502, India"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2014,3,1]]},"container-title":["mcma"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2013-0017\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2013-0017\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,1]],"date-time":"2023-04-01T22:12:06Z","timestamp":1680387126000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2013-0017\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,3,1]]},"references-count":0,"journal-issue":{"issue":"1","published-online":{"date-parts":[[2014,3,1]]},"published-print":{"date-parts":[[2014,3,1]]}},"alternative-id":["10.1515\/mcma-2013-0017"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2013-0017","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"value":"0929-9629","type":"print"},{"value":"1569-3961","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,3,1]]}}}