Developments in Option Pricing beyond Assumptions of Black-Scholes Model

The Black-Scholes model for valuation of European Options provided a ground-breaking result in option pricing theory. The applications of Black-Scholes model are well beyond option valuation. Often the applicability of model is restricted as the assumptions are satisfied in a certain context. This review paper summarizes the literature which can be referred to when any of the assumption of BS model is not satisfied. Thus, it can provide the path to apply the BS model in a situation when some of the assumptions are not satisfied.