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 0 0 4 44
A theoretical framework for trading experiments 0 0 2 95 1 1 4 180
A theoretical framework for trading experiments 0 0 1 32 2 6 7 56
A theoretical framework for trading experiments 0 0 1 2 0 2 6 16
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 1 2 201 0 5 15 491
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 2 4 7 170
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 0 10 13 458
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 1 1 1 47 5 18 21 164
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 0 0 40 0 2 5 112
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 0 0 0 45
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 44 5 16 19 139
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 0 4 7 144
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 1 13 17 239
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 33 0 6 7 134
Option Pricing using Realized Volatility 0 0 0 139 1 4 5 372
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 1 7 11 133
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 1 4 7 148
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 1 4 6 82
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 1 5 6 122
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 0 4 4 143
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 0 3 6 123
Unawareness Premia 1 1 3 7 2 5 14 32
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 0 5 9 242
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 2 17 20 142
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 1 4 6 109
Total Working Papers 2 4 12 1,274 26 157 240 4,513

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 14 19
A mean reverting affine GARCH model for commodities 0 0 0 0 1 1 1 1
Affine multivariate GARCH models 0 0 0 17 2 5 8 72
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 0 5 11 222
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 1 5 1 7 11 26
American option pricing with discrete and continuous time models: An empirical comparison 0 0 0 19 0 1 2 73
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 0 1 3 3
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 0 845 0 1 7 1,688
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 0 5 12 151
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 1 1 1 3 14 19 19
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 0 4 5 40
Computational Finance 0 0 0 5 0 2 4 37
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 1 6 95 0 13 29 232
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 1 5 12 17
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 2 8 12 83
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 0 3 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 1 6 8 18
If we can simulate it, we can insure it: An application to longevity risk management 1 1 1 18 1 5 11 103
Intraday Market Predictability: A Machine Learning Approach 2 3 10 14 5 22 40 50
Les modèles factoriels et la gestion du risque de longévité 0 0 0 2 0 4 5 34
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 0 9 15 56
Multivariate option pricing with time varying volatility and correlations 0 0 3 48 1 8 18 185
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 1 2 7 8
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 1 4 5 66
Option pricing with conditional GARCH models 0 0 1 30 1 6 13 134
Pricing American options when the underlying asset follows GARCH processes 0 0 9 83 3 8 18 342
Pricing individual stock options using both stock and market index information 0 0 1 16 0 5 8 113
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 1 2 4 55
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 0 1 12 8 13 19 46
Simulated Greeks for American options 0 0 4 12 1 1 6 25
Smile‐implied hedging with volatility risk 0 0 4 11 0 4 10 41
Stationary Threshold Vector Autoregressive Models 0 0 0 8 1 4 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 10 10
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 1 0 4 7 14
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 2 2 3 3
Variance swap payoffs, risk premia and extreme market conditions 0 1 1 5 7 12 16 41
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 2 3 6 28
Total Journal Articles 3 9 49 1,367 48 215 398 4,234

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 0 6 12 58
Total Chapters 0 0 3 13 0 6 12 58

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Statistics updated 2026-03-04