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 …