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 3 4 7 54
A theoretical framework for trading experiments 0 0 1 14 0 3 5 44
A theoretical framework for trading experiments 0 0 1 2 2 3 6 16
A theoretical framework for trading experiments 0 0 2 95 0 0 3 179
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 1 2 201 1 9 15 491
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 2 4 5 168
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 46 9 13 16 159
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 0 0 4 208
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 6 10 13 458
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 1 3 5 112
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 10 11 14 134
Measuring Longevity Risk for a Canadian Pension Fund 0 1 1 47 0 5 7 98
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 2 5 7 144
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 8 14 17 238
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 3 4 4 167
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 3 6 7 134
Option Pricing using Realized Volatility 0 0 0 139 2 4 4 371
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 2 3 6 147
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 5 9 10 132
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 2 3 5 81
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 3 4 5 121
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 2 4 4 143
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 2 4 7 123
Unawareness Premia 0 0 2 6 1 3 12 30
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 3 6 9 242
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 15 16 18 140
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 3 4 5 108
Total Working Papers 0 2 10 1,272 90 154 221 4,487

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 1 1 2 2 5 8 13 18
Affine multivariate GARCH models 0 0 0 17 3 4 6 70
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 3 6 12 222
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 1 5 2 6 10 25
American option pricing with discrete and continuous time models: An empirical comparison 0 0 0 19 1 1 3 73
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 0 3 3 3
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 0 845 1 3 8 1,688
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 2 10 13 151
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 1 1 1 4 13 16 16
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 3 5 6 40
Computational Finance 0 0 0 5 0 3 4 37
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 1 1 6 95 9 15 29 232
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 4 5 11 16
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 6 8 10 81
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 2 4 4 34
Efficient Pricing and Model Calibration With Large Panels of Options 0 0 0 0 0 0 0 0
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 1 1 2 3 7 8 17
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 17 3 7 10 102
Intraday Market Predictability: A Machine Learning Approach 0 1 8 12 7 19 35 45
Les modèles factoriels et la gestion du risque de longévité 0 0 1 2 3 4 6 34
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 4 13 15 56
Multivariate option pricing with time varying volatility and correlations 0 0 3 48 4 9 17 184
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 1 2 6 7
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 2 3 4 65
Option pricing with conditional GARCH models 0 0 1 30 4 7 13 133
Pricing American options when the underlying asset follows GARCH processes 0 0 9 83 4 5 15 339
Pricing individual stock options using both stock and market index information 0 0 1 16 4 5 8 113
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 0 2 3 54
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 0 1 12 2 5 12 38
Simulated Greeks for American options 0 1 4 12 0 1 7 24
Smile‐implied hedging with volatility risk 0 0 4 11 4 5 10 41
Stationary Threshold Vector Autoregressive Models 0 0 1 8 2 3 9 55
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 4 8 9 9
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 1 3 4 7 14
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 3 5 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 0 0 1 1
Variance swap payoffs, risk premia and extreme market conditions 1 1 1 5 4 6 9 34
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 1 3 4 26
Total Journal Articles 3 7 48 1,364 107 217 362 4,186

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 3 6 13 58
Total Chapters 0 0 3 13 3 6 13 58

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Statistics updated 2026-02-12