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Details about Lars Stentoft

E-mail:
Homepage:http://economics.uwo.ca/people/faculty/stentoft.html
Workplace:Department of Economics, University of Western Ontario, (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (Center for Interuniversity Research and Analysis on Organizations), (more information at EDIRC)
Service de l'Enseignement de la Finance (Finance Teaching Service), HEC Montréal (École des Hautes Études Commerciales) (HEC Montreal Business School), (more information at EDIRC)

Access statistics for papers by Lars Stentoft.

Last updated 2014-08-16. Update your information in the RePEc Author Service.

Short-id: pst129


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Working Papers

2013

  1. A theoretical framework for trading experiments
    Papers, arXiv.org Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads

2012

  1. If we can simulate it, we can insure it: An application to longevity risk management
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2013)
  2. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
    CIRANO Working Papers, CIRANO Downloads
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2012) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) Downloads

    See also Journal Article in International Journal of Forecasting (2014)

2011

  1. American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
    See also Journal Article in Journal of Empirical Finance (2011)
  2. Measuring Longevity Risk for a Canadian Pension Fund
    CIRANO Working Papers, CIRANO Downloads
  3. What we can learn from pricing 139,879 Individual Stock Options
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads

2010

  1. Multivariate Option Pricing With Time Varying Volatility and Correlations
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) Downloads View citations (1)
    Cahiers de recherche, CIRPEE (2010) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads

    See also Journal Article in Journal of Banking & Finance (2011)
  2. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads View citations (2)
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) Downloads View citations (3)

2009

  1. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
    CIRANO Working Papers, CIRANO Downloads View citations (5)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads View citations (2)
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (2)
    Cahiers de recherche, CIRPEE (2009) Downloads View citations (2)

    See also Journal Article in Computational Statistics & Data Analysis (2014)

2008

  1. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (18)
    See also Journal Article in Journal of Financial Econometrics (2008)
  2. Option Pricing using Realized Volatility
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (14)

Journal Articles

2014

  1. Bayesian option pricing using mixed normal heteroskedasticity models
    Computational Statistics & Data Analysis, 2014, 76, (C), 588-605 Downloads
    See also Working Paper (2009)
  2. Refining the least squares Monte Carlo method by imposing structure
    Quantitative Finance, 2014, 14, (3), 495-507 Downloads
  3. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
    International Journal of Forecasting, 2014, 30, (1), 78-98 Downloads
    See also Working Paper (2012)

2013

  1. If we can simulate it, we can insure it: An application to longevity risk management
    Insurance: Mathematics and Economics, 2013, 52, (1), 35-45 Downloads
    See also Working Paper (2012)

2011

  1. American option pricing with discrete and continuous time models: An empirical comparison
    Journal of Empirical Finance, 2011, 18, (5), 880-902 Downloads
    See also Working Paper (2011)
  2. Multivariate option pricing with time varying volatility and correlations
    Journal of Banking & Finance, 2011, 35, (9), 2267-2281 Downloads View citations (10)
    See also Working Paper (2010)

2008

  1. American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
    Journal of Financial Econometrics, 2008, 6, (4), 540-582 Downloads View citations (15)
    See also Working Paper (2008)

2005

  1. Pricing American options when the underlying asset follows GARCH processes
    Journal of Empirical Finance, 2005, 12, (4), 576-611 Downloads View citations (16)

2004

  1. Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
    Review of Derivatives Research, 2004, 7, (2), 129-168 Downloads View citations (17)
  2. Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
    Management Science, 2004, 50, (9), 1193-1203 Downloads View citations (23)
  3. SEASONALITY IN ECONOMIC MODELS
    Macroeconomic Dynamics, 2004, 8, (03), 362-394 Downloads View citations (7)
 
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