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 32 0 0 4 50
A theoretical framework for trading experiments 0 0 1 14 3 3 5 44
A theoretical framework for trading experiments 0 0 2 95 0 1 5 179
A theoretical framework for trading experiments 0 0 1 2 1 1 4 14
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 1 1 200 4 6 11 486
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 2 2 3 166
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 46 0 1 3 146
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 0 3 3 448
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 40 1 2 3 110
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 0 3 3 123
Measuring Longevity Risk for a Canadian Pension Fund 0 0 0 46 0 1 3 93
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 1 1 3 140
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 2 4 5 226
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 1 1 1 164
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 0 1 128
Option Pricing using Realized Volatility 0 0 0 139 1 1 1 368
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 3 3 4 126
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 0 1 3 144
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 0 1 2 78
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 0 1 1 117
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 0 0 0 139
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 1 3 4 120
Unawareness Premia 0 0 2 6 0 1 11 27
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 1 3 4 237
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 1 3 3 125
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 1 1 4 105
Total Working Papers 0 1 8 1,270 23 48 99 4,356

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 1 1 1 2 7 7 12
Affine multivariate GARCH models 0 0 0 17 1 3 3 67
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 1 3 8 217
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 1 5 0 2 4 19
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 2 2 2 2
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 0 845 2 4 8 1,687
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 5 6 8 146
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 0 0 0 2 4 5 5
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 1 1 2 36
Computational Finance 0 0 0 5 1 1 2 35
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 0 7 94 2 7 19 219
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 1 3 8 12
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 2 2 4 75
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 1 1 1 31
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 0 0 1 2 2 4 12
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 17 3 4 6 98
Intraday Market Predictability: A Machine Learning Approach 0 2 9 11 2 6 22 28
Les modèles factoriels et la gestion du risque de longévité 0 0 1 2 0 0 2 30
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 4 6 6 47
Multivariate option pricing with time varying volatility and correlations 0 0 3 48 2 3 10 177
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 1 4 5 6
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 0 0 1 62
Option pricing with conditional GARCH models 0 0 2 30 2 2 10 128
Pricing American options when the underlying asset follows GARCH processes 0 2 9 83 0 2 10 334
Pricing individual stock options using both stock and market index information 0 1 1 16 0 1 3 108
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 1 1 2 53
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 1 1 12 0 2 7 33
Simulated Greeks for American options 1 1 4 12 1 2 8 24
Smile‐implied hedging with volatility risk 0 0 4 11 1 1 6 37
Stationary Threshold Vector Autoregressive Models 0 0 1 8 0 4 6 52
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 3 4 4 4
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 1 0 1 10 10
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 2 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 1 4 1 2 6 29
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 2 3 3 25
Total Journal Articles 1 8 48 1,358 50 99 219 4,019

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 0 2 7 52
Total Chapters 0 0 3 13 0 2 7 52

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Statistics updated 2025-12-06