Knowledge mapping of studies on implied volatility in equity derivatives markets: a bibliometric approach

Vijay Kumar Sharma and Satinder Bhatia

International Journal of Financial Markets and Derivatives, 2023, vol. 9, issue 3, 188-207

Abstract: This review paper is designed to study the intellectual structure of publications on 'implied volatility' in the equity derivative market after reviewing 254 research articles published since 2001 and indexed in Scopus database. The study conducted knowledge mapping using Microsoft Excel and VOSviewer software to analyse the collected data using performance analysis and scientific mapping approaches. The result of this study suggests that there has been a significant increase in research publications on this subject over the past ten years, but there is still very little study on this topic. The USA, China, the UK, and Australia are major contributors to research studies on implied volatility. India, is the world's largest index options market, but its research contribution lags far behind China, the USA, the UK, or Australia. The result of this study is unique in the field of 'implied volatility' as it is among very few studies on 'equity derivatives' which is providing in-depth bibliometric analysis and research trend in the past two decades. To the best of the authors' knowledge, this unique review paper will help the researchers and other academics to explore the research area on 'implied volatility'.

Keywords: implied volatility; implied volatility surface; option pricing; literature review; bibliometric analysis. (search for similar items in EconPapers)
Date: 2023
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