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Review of research on option pricing: a bibliometric analysis

Prashant Sharma (Jaipuria Institute of Management Noida, Noida, India)
Dinesh Kumar Sharma (School of Management, Gautam Buddha University, Greater Noida, India)
Prashant Gupta (Indian Institute of Management Tiruchirappalli, Tiruchirappalli, India)

Qualitative Research in Financial Markets

ISSN: 1755-4179

Article publication date: 10 August 2023

Issue publication date: 16 January 2024

489

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 (Bastian et 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

Acknowledgements

Since acceptance of this article, the following author has updated their affiliation: Prashant Sharma is at the Jindal School of Banking and Finance, O.P. Jindal Global University, Sonipat, India.

Since acceptance of this article, the following author has updated their affiliation: Prashant Gupta is at the Indian Institute of Management, Nagpur, India.

Citation

Sharma, P., Sharma, D.K. and Gupta, P. (2024), "Review of research on option pricing: a bibliometric analysis", Qualitative Research in Financial Markets, Vol. 16 No. 1, pp. 159-182. https://doi.org/10.1108/QRFM-09-2021-0152

Publisher

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Emerald Publishing Limited

Copyright © 2023, Emerald Publishing Limited

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