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 3 3 7 47
A theoretical framework for trading experiments 0 0 1 2 0 2 6 16
A theoretical framework for trading experiments 0 0 2 95 0 1 4 180
A theoretical framework for trading experiments 0 0 1 32 0 5 7 56
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 0 2 201 1 2 15 492
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 0 4 7 170
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 0 0 3 208
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 1 1 47 0 14 21 164
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 1 7 14 459
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 0 1 5 112
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 2 2 2 47
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 44 0 15 19 139
Measuring Longevity Risk for a Canadian Pension Fund 0 0 1 47 0 0 7 98
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 0 2 7 144
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 0 3 4 167
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 2 11 19 241
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 3 7 134
Option Pricing using Realized Volatility 0 0 0 139 1 4 6 373
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 1 4 8 149
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 0 6 11 133
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 0 3 6 82
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 2 6 8 124
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 1 3 5 144
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 1 3 7 124
Unawareness Premia 0 1 2 7 4 7 16 36
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 0 3 9 242
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 1 18 21 143
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 0 4 5 109
Total Working Papers 0 2 11 1,274 20 136 256 4,533

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 2 2 1 7 15 20
A mean reverting affine GARCH model for commodities 0 0 0 0 1 2 2 2
Affine multivariate GARCH models 0 0 0 17 1 6 9 73
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 1 4 12 223
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 1 5 1 4 12 27
American option pricing with discrete and continuous time models: An empirical comparison 1 1 1 20 2 3 4 75
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 0 0 3 3
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 1 1 1 846 2 3 8 1,690
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 0 2 12 151
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 0 1 1 2 9 21 21
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 1 4 6 41
Computational Finance 0 0 0 5 1 1 5 38
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 1 5 95 2 11 30 234
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 0 5 12 17
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 2 10 14 85
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 0 2 4 34
Efficient Pricing and Model Calibration With Large Panels of Options 0 0 0 0 1 1 1 1
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 0 1 2 0 4 8 18
If we can simulate it, we can insure it: An application to longevity risk management 0 1 1 18 0 4 11 103
Intraday Market Predictability: A Machine Learning Approach 2 4 11 16 8 20 47 58
Les modèles factoriels et la gestion du risque de longévité 0 0 0 2 0 3 5 34
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 0 4 15 56
Multivariate option pricing with time varying volatility and correlations 0 0 2 48 1 6 17 186
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 2 4 9 10
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 1 4 6 67
Option pricing with conditional GARCH models 2 2 3 32 2 7 15 136
Pricing American options when the underlying asset follows GARCH processes 0 0 9 83 0 7 17 342
Pricing individual stock options using both stock and market index information 0 0 1 16 1 5 8 114
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 0 1 3 55
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 0 1 12 2 12 21 48
Simulated Greeks for American options 1 1 5 13 1 2 7 26
Smile‐implied hedging with volatility risk 0 0 4 11 1 5 11 42
Stationary Threshold Vector Autoregressive Models 0 0 0 8 0 3 9 56
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 1 6 11 11
The shifted GARCH model with affine variance: Applications in pricing 1 1 2 2 2 5 9 16
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 0 3 6 89
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 1 3 4 4
Variance swap payoffs, risk premia and extreme market conditions 0 1 1 5 1 12 17 42
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 0 3 6 28
Total Journal Articles 8 14 54 1,375 42 197 432 4,276

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 1 1 3 14 2 5 13 60
Total Chapters 1 1 3 14 2 5 13 60

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Statistics updated 2026-04-09