Mapping of Barrier Option Pricing: A Co-citation Analysis

Abstract

Barrier options refer to the options that are limited in the process of their entry into force. Its purpose is to control the investors' gains or losses within a certain range. Barrier options are a special form of options. Their emergence provides a more effective way for risk managers. In recent years, barrier options have developed rapidly in the financial market. Compared with ordinary options, their trading methods are more flexible, their returns are in line with investors' wishes, and their trading prices are cheaper. They are popular with investors. Therefore, how to price barrier options has become an important research hotspot in the financial field. There is a very obvious phenomenon that the publications about barrier option pricing increasing year by year. Based on the literature data retrieved from Web of Science, this paper adopts the scientometrics analysis method to make a literature review on the pricing of barrier options, an analysis of current research situation, a co-citation analysis of literature, new trends and developments in the research field, and an analysis of sudden detection in the research field. It is concluded that “Business Finance” is the most popular subject in the field of barrier option pricing, and “Quantitative Finance” is the most frequently published journal. Among many countries in the world, USA has the largest number of publications in this field. In the field of barrier option pricing, “China University of Hong Kong” has the largest number of publications, and “general valuation framework”, “flexible binomial option pricing model”, “model uncertainty”, “evy processes”, “early exercise boundary”, “model” are the main research fields of barrier option pricing. Math Finance and Merton RC are the most influential journals and authors in the field of barrier option pricing. On the whole, the research method in this paper provided a fresh research approach to assess the performance of barrier option pricing research. The findings may help for the new researchers to pick out the most relevant articles, journals, institutions and seize the research frontier in barrier option pricing field.