A Scientometrics Review Of Option Pricing Research: Insights Into The Black-Scholes Model And Its Variants

Abstract

The pricing of options is a key concept in finance, and the Black-Scholes model, which was introduced in 1973, is one of the most important contributions to quantitative finance. This model provides a solid base for the valuation purposes of European options under some assumptions like the log-normality of asset prices and the constancy of volatility of the underlying asset. This paper makes a comprehensive study of the area of option pricing, with a particular focus on the development of the Black-Scholes model and its associated modifications. This paper adopts a scientometric review to bring together the growing body of literature on option pricing models and their variations. This paper finds yearly dissemination of publications, top research outlets, co-occurrence network of keywords, cluster analysis, collaboration network of authors in option pricing, co-authorship Patterns in Option Pricing Research, network analysis of article citation, most cited research articles in OP, influential Countries in Option Prices Research, Subject Area distribution in Option Pricing Research, and key Trends in Option Pricing Research. To the best of our knowledge, no previous research has tried to analyse the papers published in the Black-Scholes model. This paper contributes by conducting a scientometric analysis of Black-Scholes option pricing models. The research identified many themes, and it provides future research direction in this area of study.