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 0 8 49
A theoretical framework for trading experiments 0 0 1 95 0 1 6 183
A theoretical framework for trading experiments 0 0 0 32 0 1 7 57
A theoretical framework for trading experiments 0 0 0 2 0 2 10 21
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 0 2 201 0 3 20 499
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 1 1 11 174
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 0 0 3 209
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 1 47 0 2 23 167
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 0 2 18 463
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 0 0 6 113
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 0 4 7 52
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 44 0 0 21 141
Measuring Longevity Risk for a Canadian Pension Fund 0 0 1 47 0 1 9 100
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 0 0 9 147
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 0 0 6 169
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 1 5 26 248
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 1 8 136
Option Pricing using Realized Volatility 0 0 0 139 0 2 9 376
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 1 3 14 156
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 0 0 12 135
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 0 2 10 86
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 0 1 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 1 1 10 127
Unawareness Premia 0 0 1 7 0 2 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 0 1 25 147
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 1 2 9 113
Total Working Papers 0 0 6 1,274 5 37 331 4,624

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 1 17 22
A mean reverting affine GARCH model for commodities 1 1 1 1 3 8 11 11
Affine multivariate GARCH models 0 1 1 18 0 1 11 75
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 1 1 14 228
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 0 5 1 2 17 34
American option pricing with discrete and continuous time models: An empirical comparison 0 0 1 20 2 7 16 87
Analytical fixed income pricing in discrete time: A new family of models 0 0 1 1 1 4 10 10
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 0 2 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 1 25 26
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 0 1 10 45
Computational Finance 0 0 0 5 0 2 9 43
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 2 3 97 0 5 29 241
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 1 1 6 0 2 12 21
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 1 3 19 92
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 1 1 7 37
Efficient Pricing and Model Calibration With Large Panels of Options 0 1 1 1 2 6 9 9
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 0 1 2 0 0 12 22
If we can simulate it, we can insure it: An application to longevity risk management 0 0 1 18 1 2 12 106
Intraday Market Predictability: A Machine Learning Approach 0 5 16 23 2 14 64 83
Les modèles factoriels et la gestion du risque de longévité 0 0 0 2 0 0 6 36
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 1 1 17 58
Multivariate option pricing with time varying volatility and correlations 1 1 1 49 2 3 19 192
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 1 1 1 0 3 14 16
Option pricing with asymmetric heteroskedastic normal mixture models 1 1 1 7 1 1 9 71
Option pricing with conditional GARCH models 1 2 4 34 1 2 20 143
Pricing American options when the underlying asset follows GARCH processes 0 0 2 83 0 2 13 345
Pricing individual stock options using both stock and market index information 0 1 2 17 0 2 13 119
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 0 1 5 57
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 1 3 14 1 2 23 52
Simulated Greeks for American options 0 0 3 13 0 2 9 30
Smile‐implied hedging with volatility risk 0 1 1 12 0 2 12 48
Stationary Threshold Vector Autoregressive Models 0 0 0 8 0 2 16 64
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 1 1 1 1 2 5 21 21
The shifted GARCH model with affine variance: Applications in pricing 0 0 2 2 1 1 14 22
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 1 4 11 94
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 5 6
Variance swap payoffs, risk premia and extreme market conditions 0 0 1 5 0 0 17 44
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 0 0 6 28
Total Journal Articles 5 21 54 1,400 25 101 581 4,488

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 1 14 0 2 19 68
Total Chapters 0 0 1 14 0 2 19 68

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Statistics updated 2026-08-07