Effect of Implied Volatility on Option Prices using two Option Pricing Models

Financial derivatives have been drawing increasing interest in recent days. Among these, Options are the most basic and fundamental derivates. European options are most widely used in Indian stock exchanges. There are different types of options available for pricing; Black-Scholes is one of such type. Black-Scholes model is used for pricing options to calculate the Read More …

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 Read More …