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.