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 1 14 0 3 5 44
A theoretical framework for trading experiments 0 0 2 95 0 0 3 179
A theoretical framework for trading experiments 0 0 1 32 1 1 4 51
A theoretical framework for trading experiments 0 0 1 2 0 1 4 14
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 1 2 2 201 4 10 15 490
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 0 2 3 166
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 46 4 5 7 150
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 0 1 4 208
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 4 6 7 452
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 1 3 4 111
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 0 0 1 45
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 44 1 4 4 124
Measuring Longevity Risk for a Canadian Pension Fund 1 1 1 47 5 6 8 98
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 2 3 5 142
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 0 1 1 164
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 4 8 9 230
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 3 3 4 131
Option Pricing using Realized Volatility 0 0 0 139 1 2 2 369
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 1 4 5 127
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 1 2 4 145
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 1 1 3 79
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 1 2 2 118
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 2 2 2 141
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 1 3 5 121
Unawareness Premia 0 0 2 6 2 3 12 29
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 2 3 6 239
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 0 3 3 125
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 0 1 4 105
Total Working Papers 2 3 10 1,272 41 83 136 4,397

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options 0 0 1 1 1 6 8 13
Affine multivariate GARCH models 0 0 0 17 0 3 3 67
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 2 4 10 219
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 1 5 4 6 8 23
American option pricing with discrete and continuous time models: An empirical comparison 0 0 0 19 0 0 2 72
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 1 3 3 3
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 0 845 0 4 8 1,687
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 3 9 11 149
Bias Correction in the Least-Squares Monte Carlo Algorithm 1 1 1 1 7 11 12 12
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 1 2 3 37
Computational Finance 0 0 0 5 2 3 4 37
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 0 6 94 4 11 22 223
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 0 3 7 12
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 0 2 4 75
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 1 2 2 32
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 1 1 1 2 2 4 6 14
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 17 1 5 7 99
Intraday Market Predictability: A Machine Learning Approach 1 2 9 12 10 13 30 38
Les modèles factoriels et la gestion du risque de longévité 0 0 1 2 1 1 3 31
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 5 10 11 52
Multivariate option pricing with time varying volatility and correlations 0 0 3 48 3 6 13 180
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 0 4 5 6
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 1 1 2 63
Option pricing with conditional GARCH models 0 0 2 30 1 3 10 129
Pricing American options when the underlying asset follows GARCH processes 0 1 9 83 1 2 11 335
Pricing individual stock options using both stock and market index information 0 1 1 16 1 2 4 109
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 1 2 3 54
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 0 1 12 3 4 10 36
Simulated Greeks for American options 0 1 4 12 0 2 8 24
Smile‐implied hedging with volatility risk 0 0 4 11 0 1 6 37
Stationary Threshold Vector Autoregressive Models 0 0 1 8 1 4 7 53
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 1 5 5 5
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 1 1 2 11 11
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 0 3 4 86
Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression 0 0 0 0 0 0 1 1
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 4 1 2 5 30
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 0 3 3 25
Total Journal Articles 3 7 48 1,361 60 148 272 4,079

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 3 13 3 5 10 55
Total Chapters 0 0 3 13 3 5 10 55

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Statistics updated 2026-01-09