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Research in market-calibrated option pricing analysis

Author

Listed:
  • Sanjeet Singh
  • Nav Bhardwaj
  • Gagan Deep Sharma
  • Tuğberk Kaya
  • Mandeep Mahendru
  • Burak Erkut

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.

Suggested Citation

  • Sanjeet Singh & Nav Bhardwaj & Gagan Deep Sharma & Tuğberk Kaya & Mandeep Mahendru & Burak Erkut, 2019. "Research in market-calibrated option pricing analysis," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 12(2), pages 159-176, July.
    • Handle: RePEc:eme:qrfmpp:qrfm-01-2019-0004
    DOI: 10.1108/QRFM-01-2019-0004
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    Citations

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    Cited by:

    1. Sergey Smirnov, 2019. "A Guaranteed Deterministic Approach to Superhedging—The Case of Convex Payoff Functions on Options," Mathematics, MDPI, vol. 7(12), pages 1-19, December.

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