This short course is offered within the Workshop in Quantitative Finance (timetable: 9 May, 9-13; 10 May, 14-18). It reviews recent option pricing literature while placing a special emphasis on non-parametric pricing methodologies. In addition,it provides novel insights into the accuracy of option pricing models during the recent 2008 credit crisis. A direct comparison of alternative models is also made in regards to the 1987 stock market crash.