Study of India VIX options pricing using Black-Scholes model

India VIX is the first volatility index in India based on the order book of NIFTY Options. For this, the best bidask quotes of near and next-month NIFTY options contracts which are traded on the F&O segment of NSE are used. In February 2014, NSE introduced Futures contracts based on India VIX. There are strong possibilities that options on India VIX may be traded in NSE in future. In this paper, we compute the India VIX option prices using Black-Scholes model and Generalized Black-Scholes model. Then we make some observations by comparing these two prices of India VIX options. Read more