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 14 0 1 9 50
A theoretical framework for trading experiments 0 0 0 95 0 1 5 184
A theoretical framework for trading experiments 0 0 0 2 0 0 8 21
A theoretical framework for trading experiments 0 0 0 32 0 1 8 58
American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution 0 0 2 201 0 3 22 502
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison 0 0 0 37 0 2 11 175
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 44 0 1 3 210
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 0 52 0 0 17 463
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models 0 0 1 47 0 0 22 167
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 40 0 0 5 113
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability 0 0 0 8 0 2 9 54
If we can simulate it, we can insure it: An application to longevity risk management 0 0 0 44 1 1 22 142
Measuring Longevity Risk for a Canadian Pension Fund 0 0 1 47 0 0 8 100
Multivariate Option Pricing With Time Varying Volatility and Correlations 0 0 0 26 0 0 8 147
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 42 1 2 27 249
Multivariate Option Pricing with Time Varying Volatility and Correlations 0 0 0 46 0 0 6 169
Multivariate option pricing with time varying volatility and correlations 0 0 0 33 0 1 9 137
Option Pricing using Realized Volatility 0 0 0 139 1 2 11 378
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 33 0 1 13 136
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models 0 0 0 49 0 2 14 157
Option pricing with asymmetric heteroskedastic normal mixture models 0 0 0 28 0 0 8 86
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options 0 0 0 28 0 0 12 128
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options 0 0 0 68 1 3 8 147
The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options 0 0 0 12 0 2 10 128
Unawareness Premia 1 1 2 8 2 3 19 45
Variance swap payoffs, risk premia and extreme market conditions 0 0 0 11 0 1 7 243
What we can learn from pricing 139,879 Individual Stock Options 0 2 2 59 0 12 37 159
Which pricing approach for options under GARCH with non-normal innovations? 0 0 0 32 1 2 10 114
Total Working Papers 1 3 8 1,277 7 43 348 4,662

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 1 2 1 2 17 24
A mean reverting affine GARCH model for commodities 0 1 1 1 2 6 14 14
Affine multivariate GARCH models 1 1 2 19 2 2 13 77
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution 0 0 0 51 1 2 14 229
American Option Pricing with Importance Sampling and Shifted Regressions 0 0 0 5 0 1 17 34
American option pricing with discrete and continuous time models: An empirical comparison 0 0 1 20 0 2 15 87
Analytical fixed income pricing in discrete time: A new family of models 0 0 1 1 2 3 12 12
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation 0 0 1 846 0 0 11 1,694
Bayesian option pricing using mixed normal heteroskedasticity models 0 0 0 10 1 1 16 156
Behavioral portfolio decisions in a GARCH world 0 0 0 0 1 3 4 4
Bias Correction in the Least-Squares Monte Carlo Algorithm 0 1 3 3 0 2 27 28
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method 0 0 0 2 0 2 12 47
Computational Finance 0 0 0 5 0 1 10 44
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation 0 0 3 97 0 0 29 241
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 1 6 0 1 13 22
Dynamics of variance risk premia: A new model for disentangling the price of risk 0 0 0 15 0 2 20 93
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments 0 0 0 4 1 3 9 39
Efficient Pricing and Model Calibration With Large Panels of Options 0 0 1 1 3 5 12 12
Efficient Variance Reduction for American Call Options Using Symmetry Arguments 0 0 1 2 0 0 12 22
If we can simulate it, we can insure it: An application to longevity risk management 0 0 1 18 0 1 12 106
Intraday Market Predictability: A Machine Learning Approach 0 2 15 25 4 16 72 97
Les modèles factoriels et la gestion du risque de longévité 0 0 0 2 0 0 6 36
Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan 0 0 0 3 1 5 20 62
Multivariate option pricing with time varying volatility and correlations 0 1 1 49 0 4 20 194
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 1 1 0 0 14 16
Option pricing with asymmetric heteroskedastic normal mixture models 0 1 1 7 0 1 9 71
Option pricing with conditional GARCH models 0 1 4 34 0 1 17 143
Pricing American options when the underlying asset follows GARCH processes 0 0 1 83 0 1 13 346
Pricing individual stock options using both stock and market index information 0 0 2 17 0 0 12 119
Refining the least squares Monte Carlo method by imposing structure 0 0 0 8 0 0 5 57
Regulatory Capital and Incentives for Risk Model Choice under Basel 3* 0 1 3 15 0 2 21 53
Simulated Greeks for American options 0 0 2 13 1 1 9 31
Smile‐implied hedging with volatility risk 0 0 1 12 2 3 15 51
Stationary Threshold Vector Autoregressive Models 0 0 0 8 0 1 16 65
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 1 1 1 1 3 22 22
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 2 0 2 14 23
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options 0 0 0 10 1 2 12 95
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 1 6 7
Variance swap payoffs, risk premia and extreme market conditions 0 0 1 5 0 0 16 44
Yes We Can (Price Derivatives on Survivor Indices) 0 0 0 2 1 1 7 29
Total Journal Articles 1 10 51 1,405 25 83 615 4,546

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 1 14 1 1 19 69
Total Chapters 0 0 1 14 1 1 19 69

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Statistics updated 2026-10-11