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 14 0 2 8 49
A theoretical framework for trading experiments 0 0 0 32 1 1 7 57
A theoretical framework for trading experiments 0 0 1 95 1 3 6 183
A theoretical framework for trading experiments 0 0 0 2 0 5 10 21
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 0 2 201 1 7 20 499
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 0 3 10 173
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 0 1 3 209
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 1 47 1 3 23 167
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 1 4 18 463
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 0 1 6 113
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 1 5 7 52
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 44 0 2 21 141
Measuring Longevity Risk for a Canadian Pension Fund 0 0 1 47 0 2 9 100
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 0 3 10 147
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 0 2 6 169
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 2 6 25 247
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 2 8 136
Option Pricing using Realized Volatility 0 0 0 139 0 3 9 376
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 0 2 12 135
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 0 6 13 155
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 1 4 10 86
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 1 4 12 128
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 0 0 5 144
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 0 2 9 126
Unawareness Premia 0 0 1 7 0 6 19 42
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 0 0 8 242
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 1 4 25 147
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 0 3 8 112
Total Working Papers 0 0 6 1,274 11 86 327 4,619

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 2 2 0 2 17 22
A mean reverting affine GARCH model for commodities 0 0 0 0 2 6 8 8
Affine multivariate GARCH models 1 1 1 18 1 2 11 75
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 0 4 13 227
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 0 5 0 6 16 33
American option pricing with discrete and continuous time models: An empirical comparison 0 0 1 20 2 10 14 85
Analytical fixed income pricing in discrete time: A new family of models 0 1 1 1 0 6 9 9
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 1 846 0 4 11 1,694
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 1 4 15 155
Behavioral portfolio decisions in a GARCH world 0 0 0 0 0 1 1 1
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 1 2 2 0 5 25 26
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 0 4 10 45
Computational Finance 0 0 0 5 0 5 9 43
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 2 2 3 97 2 7 29 241
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 1 1 6 0 4 12 21
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 2 6 19 91
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 0 2 6 36
Efficient Pricing and Model Calibration With Large Panels of Options 0 1 1 1 1 6 7 7
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 0 1 2 0 4 12 22
If we can simulate it, we can insure it: An application to longevity risk management 0 0 1 18 1 2 12 105
Intraday Market Predictability: A Machine Learning Approach 2 7 17 23 6 23 65 81
Les modèles factoriels et la gestion du risque de longévité 0 0 0 2 0 2 6 36
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 0 1 16 57
Multivariate option pricing with time varying volatility and correlations 0 0 0 48 0 4 18 190
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 1 1 1 1 1 6 14 16
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 0 3 8 70
Option pricing with conditional GARCH models 1 1 4 33 1 6 21 142
Pricing American options when the underlying asset follows GARCH processes 0 0 2 83 1 3 13 345
Pricing individual stock options using both stock and market index information 1 1 2 17 1 5 13 119
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 0 2 5 57
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 1 2 3 14 1 3 22 51
Simulated Greeks for American options 0 0 3 13 0 4 9 30
Smile‐implied hedging with volatility risk 1 1 3 12 2 6 15 48
Stationary Threshold Vector Autoregressive Models 0 0 0 8 2 8 16 64
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 2 8 19 19
The shifted GARCH model with affine variance: Applications in pricing 0 0 2 2 0 5 13 21
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 2 4 10 93
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 2 6 6
Variance swap payoffs, risk premia and extreme market conditions 0 0 1 5 0 2 17 44
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 0 0 6 28
Total Journal Articles 10 20 53 1,395 31 187 568 4,463

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 2 14 2 8 20 68
Total Chapters 0 0 2 14 2 8 20 68

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Statistics updated 2026-07-10