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Research in market-calibrated option pricing analysis: A systematic review and research agenda

Sanjeet Singh (University Centre for Research and Development, Chandigarh University, Mohali, India)
Nav Bhardwaj (Chandigarh University, Mohali, India)
Gagan Deep Sharma (Guru Gobind Singh Indraprastha University, New Delhi, India)
Tuğberk Kaya (Department of Management Information Systems, School of Applied Sciences, Cyprus International University, Nicosia, North Cyprus and Institute for Research in Economic and Fiscal Issues (IREF), Paris, France)
Mandeep Mahendru (State Bank Institute of Leadership, Kolkata, India)
Burak Erkut (Institute for Research in Economic and Fiscal Issues (IREF), Paris, France)

Qualitative Research in Financial Markets

ISSN: 1755-4179

Article publication date: 29 July 2019

Issue publication date: 24 April 2020

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 Ferreira et al. (2016), Jabbour (2013), Lage Junior and Godinho Filho (2010), Seuring (2013) and Sharma et 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

Acknowledgements

Disclosure: There is no conflict of interest between the research conducted and the authors.

Citation

Singh, S., Bhardwaj, N., Sharma, G.D., Kaya, T., Mahendru, M. and Erkut, B. (2020), "Research in market-calibrated option pricing analysis: A systematic review and research agenda", Qualitative Research in Financial Markets, Vol. 12 No. 2, pp. 159-176. https://doi.org/10.1108/QRFM-01-2019-0004

Publisher

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Emerald Publishing Limited

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