Review of research on option pricing: a bibliometric analysis

Prashant Sharma, Dinesh Kumar Sharma and Prashant Gupta

Qualitative Research in Financial Markets, 2023, vol. 16, issue 1, 159-182

Abstract: Purpose - Option pricing theory enables computation of the price of an option using different variables associated with the underlying security and options contract. The purpose of this study is to assess research trends that emerged in the field of option pricing. This study reviews existing literature of the option pricing domain, both qualitatively and quantitatively, and identifies potential themes for future research. Design/methodology/approach - This study adopts bibliometric analysis method to explore literature published in the option pricing domain. As part of bibliometric analysis, this study considers both descriptive and network analysis to assess publication trends. For descriptive analysis, the “bibliometrix” package proposed by Aria and Cuccurullo (2017) is used and for network analysis, VOS viewer (Van Eck and Waltman, 2017) and Gephi (Bastianet al., 2009) are used. Findings - This study identifies research trends, top researchers, articles, journals and contributions from institutions and countries in the option pricing domain. It identifies four clusters that show different directions and also focuses on past studies on the same subject. It explores research gaps by performing an in-depth analysis of existing literature on option pricing and suggests the way forward for research in this area. Originality/value - To the best of the authors’ knowledge, no previous studies have attempted to analyze the literature published in the option pricing domain. This study fulfils this research gap by conducting a comprehensive analysis of studies in the option pricing area. This study identifies quality research work published in the domain, research trends, contribution by most relevant researchers, contributions across geographies and institutions and the connections among these aspects. This study also identifies important themes and provides directions for future research.

Keywords: Option pricing; Bibliometric analysis; Network analysis; Gephi; VOS viewer (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:qrfmpp:qrfm-09-2021-0152

DOI: 10.1108/QRFM-09-2021-0152

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