Access Statistics for Lars Stentoft

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A theoretical framework for trading experiments 0 0 0 31 0 0 2 41
A theoretical framework for trading experiments 0 0 0 13 0 0 2 38
A theoretical framework for trading experiments 0 0 0 0 1 1 3 8
A theoretical framework for trading experiments 0 0 1 93 2 2 9 162
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 0 2 194 1 2 12 461
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 35 1 1 3 151
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 43 1 1 3 202
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 2 5 10 419
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 46 1 1 4 139
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 39 2 2 2 104
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 1 1 5 41
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 42 0 0 5 112
Measuring Longevity Risk for a Canadian Pension Fund 0 0 1 45 1 1 3 85
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 2 3 6 134
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 0 1 2 219
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 1 44 0 0 5 157
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 0 5 126
Option Pricing using Realized Volatility 0 0 1 134 1 1 7 350
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 32 2 3 8 111
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 47 1 1 5 133
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 3 4 6 67
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 1 1 11 113
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 1 4 9 127
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 1 4 13 109
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 2 4 9 231
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 54 1 1 4 118
Which pricing approach for options under GARCH with non-normal innovations? 1 1 1 31 1 1 11 93
Total Working Papers 1 1 7 1,231 29 45 164 4,051


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Affine multivariate GARCH models 0 1 5 5 0 8 27 27
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 1 50 1 1 5 204
American Option Pricing with Importance Sampling and Shifted Regressions 1 2 2 2 2 4 4 4
American option pricing with discrete and continuous time models: An empirical comparison 0 0 1 17 1 1 5 64
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 1 1 1 833 2 4 9 1,649
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 9 1 1 4 133
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 0 0 2 10 20
Computational Finance 0 1 3 4 1 3 16 22
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 0 7 64 1 1 13 155
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 5 5 1 7 28 33
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 1 2 1 2 8 24
If we can simulate it, we can insure it: An application to longevity risk management 0 0 1 14 1 1 8 82
Les modèles factoriels et la gestion du risque de longévité 0 0 0 0 0 0 3 22
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 0 0 5 36
Multivariate option pricing with time varying volatility and correlations 0 0 0 40 1 1 5 153
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 0 1 8 53
Option pricing with conditional GARCH models 0 1 12 12 4 15 66 66
Pricing American options when the underlying asset follows GARCH processes 1 2 2 69 6 10 16 259
Pricing individual stock options using both stock and market index information 0 0 5 11 2 3 65 81
Refining the least squares Monte Carlo method by imposing structure 0 0 1 7 0 0 4 44
Smile‐implied hedging with volatility risk 0 0 0 0 7 8 8 8
Stationary Threshold Vector Autoregressive Models 1 1 1 5 1 1 9 33
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 1 2 5 73
Variance swap payoffs, risk premia and extreme market conditions 0 1 1 1 1 3 11 13
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 1 0 0 5 16
Total Journal Articles 4 10 49 1,170 35 79 347 3,274


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
American option pricing using simulation with an application to the GARCH model 0 0 0 6 1 1 3 33
Total Chapters 0 0 0 6 1 1 3 33


Statistics updated 2021-09-05