Details about Lars Stentoft

Access statistics for papers by Lars Stentoft.

Last updated 2013-04-12. Update your information in the RePEc Author Service.

Short-id: pst129

Working Papers

2012

1. A theoretical framework for trading experiments
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)
2. If we can simulate it, we can insure it: An application to longevity risk management
   CIRANO Working Papers, CIRANO
   See also Journal Article in Insurance: Mathematics and Economics (2013)
3. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
   CIRANO Working Papers, CIRANO
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2012)
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012)

2011

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

2010

7. Multivariate Option Pricing With Time Varying Volatility and Correlations
   CIRANO Working Papers, CIRANO View citations (1)
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) View citations (1)
   Cahiers de recherche, CIRPEE (2010)
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
   See also Journal Article in Journal of Banking & Finance (2011)
8. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
   CIRANO Working Papers, CIRANO View citations (3)
   Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (1)
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) View citations (2)

2009

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

2008

10. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (15)
    See also Journal Article in Journal of Financial Econometrics (2008)
11. Option Pricing using Realized Volatility
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (8)

Journal Articles

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
   See also Working Paper (2012)

2011

2. American option pricing with discrete and continuous time models: An empirical comparison
   Journal of Empirical Finance, 2011, 18, (5), 880-902
   See also Working Paper (2011)
3. Multivariate option pricing with time varying volatility and correlations
   Journal of Banking & Finance, 2011, 35, (9), 2267-2281 View citations (4)
   See also Working Paper (2010)

2008

4. American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
   Journal of Financial Econometrics, 2008, 6, (4), 540-582 View citations (11)
   See also Working Paper (2008)

2005

5. Pricing American options when the underlying asset follows GARCH processes
   Journal of Empirical Finance, 2005, 12, (4), 576-611 View citations (11)

2004

6. Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
   Review of Derivatives Research, 2004, 7, (2), 129-168 View citations (14)
7. Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
   Management Science, 2004, 50, (9), 1193-1203 View citations (15)
8. SEASONALITY IN ECONOMIC MODELS
   Macroeconomic Dynamics, 2004, 8, (03), 362-394 View citations (5)