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 31 0 0 2 41
A theoretical framework for trading experiments 0 0 0 13 0 0 2 38
A theoretical framework for trading experiments 0 0 0 0 1 1 3 8
A theoretical framework for trading experiments 0 0 1 93 2 2 9 162
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 0 2 194 1 2 12 461
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 35 1 1 3 151
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 43 1 1 3 202
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 2 5 10 419
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 46 1 1 4 139
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 39 2 2 2 104
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 1 1 5 41
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 42 0 0 5 112
Measuring Longevity Risk for a Canadian Pension Fund 0 0 1 45 1 1 3 85
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 2 3 6 134
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 0 1 2 219
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 1 44 0 0 5 157
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 0 5 126
Option Pricing using Realized Volatility 0 0 1 134 1 1 7 350
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 32 2 3 8 111
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 47 1 1 5 133
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 3 4 6 67
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 1 1 11 113
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 1 4 9 127
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 1 4 13 109
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 2 4 9 231
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 54 1 1 4 118
Which pricing approach for options under GARCH with non-normal innovations? 1 1 1 31 1 1 11 93
Total Working Papers 1 1 7 1,231 29 45 164 4,051

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Affine multivariate GARCH models 0 1 5 5 0 8 27 27
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 1 50 1 1 5 204
American Option Pricing with Importance Sampling and Shifted Regressions 1 2 2 2 2 4 4 4
American option pricing with discrete and continuous time models: An empirical comparison 0 0 1 17 1 1 5 64
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 1 1 1 833 2 4 9 1,649
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 9 1 1 4 133
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 0 0 2 10 20
Computational Finance 0 1 3 4 1 3 16 22
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 0 7 64 1 1 13 155
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 5 5 1 7 28 33
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 1 2 1 2 8 24
If we can simulate it, we can insure it: An application to longevity risk management 0 0 1 14 1 1 8 82
Les modèles factoriels et la gestion du risque de longévité 0 0 0 0 0 0 3 22
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 0 0 5 36
Multivariate option pricing with time varying volatility and correlations 0 0 0 40 1 1 5 153
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 0 1 8 53
Option pricing with conditional GARCH models 0 1 12 12 4 15 66 66
Pricing American options when the underlying asset follows GARCH processes 1 2 2 69 6 10 16 259
Pricing individual stock options using both stock and market index information 0 0 5 11 2 3 65 81
Refining the least squares Monte Carlo method by imposing structure 0 0 1 7 0 0 4 44
Smile‐implied hedging with volatility risk 0 0 0 0 7 8 8 8
Stationary Threshold Vector Autoregressive Models 1 1 1 5 1 1 9 33
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 1 2 5 73
Variance swap payoffs, risk premia and extreme market conditions 0 1 1 1 1 3 11 13
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 1 0 0 5 16
Total Journal Articles 4 10 49 1,170 35 79 347 3,274

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 0 6 1 1 3 33
Total Chapters 0 0 0 6 1 1 3 33

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2021-09-05