Research in market-calibrated option pricing analysis

Sanjeet Singh, Nav Bhardwaj, Gagan Sharma (), Tuğberk Kaya, Mandeep Mahendru and Burak Erkut

Qualitative Research in Financial Markets, 2019, vol. 12, issue 2, 159-176

Abstract: Purpose - This paper aims to consolidate and review the literature in the field of market-calibrated option pricing analysis. By doing so, the paper brings out the gaps in the extant literature and makes suggestions for future researchers in the field. Design/methodology/approach - The methodology used in this research is inspired by the works of Ferreiraet al.(2016), Jabbour (2013), Lage Junior and Godinho Filho (2010), Seuring (2013) and Sharmaet al.(2018). A total of 1,500 papers written on the pricing of options globally are collated from the Web of Science ranging across 2010-2018. Findings - Most of the research papers present mathematical proposals to value options; without calibrating it with real market data points. The authors bring out five important gaps in the extant literature. Originality/value - This is arguably the first study that consolidates the literature in the field of market calibrated option pricing analysis with a view to suggest directions for future researchers.

Keywords: Options; Web of science; Market-calibration (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:qrfmpp:qrfm-01-2019-0004

DOI: 10.1108/QRFM-01-2019-0004

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