Concepedia

Option Sensitivity Analysis

Option Sensitivity Analysis is a financial modeling framework that systematically quantifies the responsiveness of option prices to changes in underlying parameters—such as implied volatility, time to expiration, and asset price—thereby enabling precise assessment of risk exposure and hedging efficiency in derivative portfolios.

44

Publications

4K

Citations

88

Authors

52

Institutions

Publications per year

2017–2026

9

Variants

Option GreeksThe Greeks

Parents

Publications

44

Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and Volatility

John E. Core, Wayne R. Guay · Journal of Accounting Research · 2002 · 1.8K citations · Full text

, , +13

Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and Volatility

Wayne R. Guay, John E. Core · SSRN Electronic Journal · 1998 · 440 citations · Full text

, , +13

The Volatility and Price Sensitivities of Managerial Stock Option Portfolios and Corporate Hedging

John D. Knopf, Jouahn Nam, John Thornton · The Journal of Finance · 2002 · 431 citations

, , +15

Sensitivity Analysis for Monte Carlo Simulation of Option Pricing

Michael C. Fu, Jian-Qlang Hu · Probability in the Engineering and Informational Sciences · 1995 · 112 citations · Full text

, , +16

Pricing vulnerable European options when the option’s payoff can increase the risk of financial distress

Peter G. Klein, Michael Inglis · Journal of Banking & Finance · 2001 · 101 citations

, , +16

1–5 of 44

Authors

88

  1. JE
    John E. Core

    University of Pennsylvania, United States

    3 publications · 2.3K citations

    3

    h-index

  2. JV
    Jan Večeř

    Charles University, Czechia

    2 publications · 66 citations

    2

    h-index

  3. WR
    Wayne R. Guay

    University of Pennsylvania, United States

    2 publications · 2.3K citations

    2

    h-index

  4. OP
    Oded Palmon

    Rutgers, The State University of New Jersey, United States

    2 publications · 93 citations

    2

    h-index

  5. JN
    Jouahn Nam

    Pace University, United States

    2 publications · 472 citations

    2

    h-index

1–5 of 88

Institutions

52

  1. University of Oxford

    Oxford, United Kingdom

    3 h-index

    5 publications

    100 citations

  2. Massachusetts Institute of Technology

    Cambridge, United States

    2 h-index

    3 publications

    466 citations

  3. Pace University

    New York, United States

    2 h-index

    2 publications

    472 citations

  4. The University of Texas at San Antonio

    San Antonio, United States

    2 h-index

    2 publications

    93 citations

  5. Kent State University

    Kent, United States

    2 h-index

    2 publications

    472 citations

  6. University of St.Gallen

    Saint Gallen, Switzerland

    2 h-index

    3 publications

    87 citations

  7. University of Maryland, College Park

    College Park, United States

    2 h-index

    4 publications

    214 citations

  8. Rutgers Sexual and Reproductive Health and Rights

    Utrecht, Netherlands

    2 h-index

    4 publications

    186 citations

1–8 of 52

Venues

  1. SSRN Electronic Journal

    Repository · 7 publications · 581 citations

    7

    h-index

  2. The Journal of Computational Finance

    3 publications · 64 citations

    3

    h-index

  3. Journal of Futures Markets

    3 publications · 147 citations

    3

    h-index

  4. Quantitative Finance

    2 publications · 72 citations

    2

    h-index

  5. Operations Research

    2 publications · 57 citations

    2

    h-index

1–5