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 1 1 94 0 1 5 177
A theoretical framework for trading experiments 0 1 1 32 0 1 4 50
A theoretical framework for trading experiments 0 1 1 14 0 1 2 41
A theoretical framework for trading experiments 0 1 1 2 0 1 1 11
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 0 2 199 0 2 6 479
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 0 0 0 163
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 46 0 1 1 144
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 1 1 2 206
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 0 0 0 445
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 0 0 0 107
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 1 44 0 0 1 120
Measuring Longevity Risk for a Canadian Pension Fund 0 0 0 46 0 0 1 91
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 0 0 0 137
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 0 0 0 163
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 0 0 1 222
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 1 1 128
Option Pricing using Realized Volatility 0 0 2 139 0 0 4 367
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 1 1 1 142
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 0 1 1 123
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 0 0 0 76
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 0 0 0 116
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 0 0 1 139
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 0 0 1 117
Unawareness Premia 1 1 2 6 2 3 10 23
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 0 1 1 234
What we can learn from pricing 139,879 Individual Stock Options 0 0 0 57 0 0 0 122
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 0 0 3 104
Total Working Papers 1 5 11 1,268 4 15 48 4,292

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 0 0 0 0 4 5
Affine multivariate GARCH models 0 0 0 17 0 0 1 64
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 0 3 5 214
American Option Pricing with Importance Sampling and Shifted Regressions 0 1 2 5 1 2 3 17
American option pricing with discrete and continuous time models: An empirical comparison 0 0 0 19 0 0 1 71
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 1 845 1 1 8 1,683
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 1 1 2 140
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 0 0 0 1 1 1 1
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 0 0 2 35
Computational Finance 0 0 0 5 0 1 1 34
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 1 4 12 94 5 8 18 212
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 2 4 5 1 4 7 9
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 0 1 2 72
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 0 0 1 30
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 0 0 1 0 0 2 10
If we can simulate it, we can insure it: An application to longevity risk management 0 0 1 17 0 1 3 93
Intraday Market Predictability: A Machine Learning Approach 0 1 6 6 2 5 14 16
Les modèles factoriels et la gestion du risque de longévité 0 0 1 2 1 1 2 30
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 0 0 0 41
Multivariate option pricing with time varying volatility and correlations 2 2 4 48 3 3 6 172
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 0 1 2 2
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 6 0 1 1 62
Option pricing with conditional GARCH models 0 0 1 29 0 0 6 121
Pricing American options when the underlying asset follows GARCH processes 0 7 9 81 0 7 11 332
Pricing individual stock options using both stock and market index information 0 0 1 15 0 0 2 106
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 0 0 1 52
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 0 0 11 1 2 3 29
Simulated Greeks for American options 1 2 4 10 1 2 7 21
Smile‐implied hedging with volatility risk 2 2 2 9 2 2 3 33
Stationary Threshold Vector Autoregressive Models 0 0 2 8 0 1 3 48
The shifted GARCH model with affine variance: Applications in pricing 0 0 0 0 0 1 8 8
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 0 0 1 83
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 0 0
Variance swap payoffs, risk premia and extreme market conditions 0 0 1 4 1 2 5 27
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 0 0 0 22
Total Journal Articles 6 21 51 1,342 21 51 136 3,895

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 1 4 12 0 1 5 48
Total Chapters 0 1 4 12 0 1 5 48

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Statistics updated 2025-07-04