I recently bought Lumia 920, just want to know that if any Anti-virus is must for this phone or I can use it peacefully without anti-virus? If required then which one?
No you do not need an anti-virus. Actually there is no anti-viruses for Windows Phone 8 as of now.
Unlike Android for example, there is no alternative app stores where you can download untrusted-unverified applications. All applications for WP are verified by Microsoft before going public, hence there is no need for an anti-virus. In addition to that each application has a limited access to the device/storage as a part of the security in WP8.