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 2 0 2 3 13
A theoretical framework for trading experiments 0 0 1 14 0 0 2 41
A theoretical framework for trading experiments 0 1 2 95 0 2 5 179
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 1 1 1 200 2 3 7 482
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 0 1 1 164
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 1 2 4 208
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 2 3 3 448
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 46 1 2 3 146
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 1 2 2 109
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 3 3 3 123
Measuring Longevity Risk for a Canadian Pension Fund 0 0 0 46 1 2 3 93
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 0 1 2 139
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 0 0 0 163
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 2 2 3 224
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 0 0 0 367
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 0 0 1 123
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 1 2 3 144
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 0 2 2 78
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 1 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 2 3 119
Unawareness Premia 0 0 2 6 1 4 11 27
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 0 2 3 236
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 2 2 2 124
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 0 0 3 104
Total Working Papers 1 2 8 1,270 19 40 76 4,333

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 3 5 5 10
Affine multivariate GARCH models 0 0 0 17 2 2 2 66
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 1 2 7 216
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 1 5 2 2 4 19
American option pricing with discrete and continuous time models: An empirical comparison 0 0 0 19 0 1 2 72
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 0 0 0 0
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 0 845 2 2 7 1,685
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 1 1 3 141
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 0 0 0 2 2 3 3
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 0 0 1 35
Computational Finance 0 0 0 5 0 0 1 34
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 0 8 94 5 5 18 217
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 2 2 7 11
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 0 0 2 73
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 0 0 0 30
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 0 0 1 0 0 2 10
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 17 1 1 3 95
Intraday Market Predictability: A Machine Learning Approach 1 4 10 11 1 7 22 26
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 1 2 2 43
Multivariate option pricing with time varying volatility and correlations 0 0 3 48 1 2 8 175
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 3 3 5 5
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 0 3 9 126
Pricing American options when the underlying asset follows GARCH processes 1 2 9 83 1 2 10 334
Pricing individual stock options using both stock and market index information 1 1 2 16 1 2 4 108
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 0 0 1 52
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 1 1 12 1 4 7 33
Simulated Greeks for American options 0 1 3 11 1 2 7 23
Smile‐implied hedging with volatility risk 0 0 4 11 0 0 6 36
Stationary Threshold Vector Autoregressive Models 0 0 1 8 3 4 6 52
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 1 1 1 1
The shifted GARCH model with affine variance: Applications in pricing 0 1 1 1 1 2 10 10
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 1 1 2 84
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 0 1 5 28
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 1 1 1 23
Total Journal Articles 3 11 50 1,357 38 62 177 3,969

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

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Statistics updated 2025-11-08