Details about Lars Stentoft

Access statistics for papers by Lars Stentoft.

Last updated 2025-04-24. Update your information in the RePEc Author Service.

Short-id: pst129

Working Papers

2023

1. Unawareness Premia
   Economics Working Papers, Department of Economics and Business Economics, Aarhus University

2017

2. Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
3. Variance swap payoffs, risk premia and extreme market conditions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Variance swap payoffs, risk premia and extreme market conditions, Econometrics and Statistics, Elsevier (2020) View citations (2) (2020)

2015

4. Which pricing approach for options under GARCH with non-normal innovations?
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2013

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

2012

6. If we can simulate it, we can insure it: An application to longevity risk management
   CIRANO Working Papers, CIRANO
   See also Journal Article If we can simulate it, we can insure it: An application to longevity risk management, Insurance: Mathematics and Economics, Elsevier (2013) View citations (13) (2013)
7. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
   CIRANO Working Papers, CIRANO
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012)
   See also Journal Article The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options, International Journal of Forecasting, Elsevier (2014) View citations (7) (2014)

2011

8. American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
   See also Journal Article American option pricing with discrete and continuous time models: An empirical comparison, Journal of Empirical Finance, Elsevier (2011) View citations (9) (2011)
9. Measuring Longevity Risk for a Canadian Pension Fund
   CIRANO Working Papers, CIRANO
10. What we can learn from pricing 139,879 Individual Stock Options
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2010

11. Multivariate Option Pricing With Time Varying Volatility and Correlations
    CIRANO Working Papers, CIRANO View citations (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
    Cahiers de recherche, CIRPEE (2010)
    See also Journal Article Multivariate option pricing with time varying volatility and correlations, Journal of Banking & Finance, Elsevier (2011) View citations (26) (2011)
12. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (8)
    CIRANO Working Papers, CIRANO (2010) View citations (9)
    See also Journal Article Option pricing with asymmetric heteroskedastic normal mixture models, International Journal of Forecasting, Elsevier (2015) View citations (3) (2015)

2009

13. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
    Cahiers de recherche, CIRPEE View citations (4)
    Also in CIRANO Working Papers, CIRANO (2009) View citations (6)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (3)
    See also Journal Article Bayesian option pricing using mixed normal heteroskedasticity models, Computational Statistics & Data Analysis, Elsevier (2014) View citations (9) (2014)

2008

14. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (41)
    See also Journal Article American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution, Journal of Financial Econometrics, Oxford University Press (2008) View citations (39) (2008)
15. Option Pricing using Realized Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (30)

Journal Articles

2025

1. Bias Correction in the Least-Squares Monte Carlo Algorithm
   Computational Economics, 2025, 65, (6), 3161-3205
2. The shifted GARCH model with affine variance: Applications in pricing
   Finance Research Letters, 2025, 71, (C)

2024

3. A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
   Finance Research Letters, 2024, 64, (C)
4. Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models
   Finance Research Letters, 2024, 69, (PA)

2023

5. Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
   International Review of Financial Analysis, 2023, 87, (C) View citations (1)
6. Intraday Market Predictability: A Machine Learning Approach
   Journal of Financial Econometrics, 2023, 21, (2), 485-527 View citations (1)
7. Simulated Greeks for American options
   Quantitative Finance, 2023, 23, (4), 653-676

2021

8. American Option Pricing with Importance Sampling and Shifted Regressions
   JRFM, 2021, 14, (8), 1-21 View citations (1)
9. Efficient Variance Reduction for American Call Options Using Symmetry Arguments
   JRFM, 2021, 14, (11), 1-21
10. Option pricing with conditional GARCH models
    European Journal of Operational Research, 2021, 289, (1), 350-363 View citations (7)
11. Regulatory Capital and Incentives for Risk Model Choice under Basel 3*
    (Procyclical Leverage and Value-at-Risk)
    Journal of Financial Econometrics, 2021, 19, (1), 53-96 View citations (3)
12. Smile‐implied hedging with volatility risk
    Journal of Futures Markets, 2021, 41, (8), 1220-1240 View citations (1)

2020

13. Affine multivariate GARCH models
    Journal of Banking & Finance, 2020, 118, (C) View citations (9)
14. Computational Finance
    JRFM, 2020, 13, (7), 1-4
15. Dynamics of variance risk premia: A new model for disentangling the price of risk
    Journal of Econometrics, 2020, 217, (2), 312-334 View citations (2)
16. Pricing individual stock options using both stock and market index information
    Journal of Banking & Finance, 2020, 111, (C) View citations (2)
17. Variance swap payoffs, risk premia and extreme market conditions
    Econometrics and Statistics, 2020, 13, (C), 106-124 View citations (2)
    See also Working Paper Variance swap payoffs, risk premia and extreme market conditions, CREATES Research Papers (2017) (2017)

2019

18. Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method
    JRFM, 2019, 12, (4), 1-21 View citations (4)
19. Efficient Numerical Pricing of American Call Options Using Symmetry Arguments
    JRFM, 2019, 12, (2), 1-26 View citations (3)

2018

20. Stationary Threshold Vector Autoregressive Models
    JRFM, 2018, 11, (3), 1-23 View citations (3)

2017

21. Yes We Can (Price Derivatives on Survivor Indices)
    Risk Management and Insurance Review, 2017, 20, (1), 37-62

2015

22. Les modèles factoriels et la gestion du risque de longévité
    L'Actualité Economique, 2015, 91, (4), 531-565
23. Option pricing with asymmetric heteroskedastic normal mixture models
    International Journal of Forecasting, 2015, 31, (3), 635-650 View citations (3)
    See also Working Paper Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models, CREATES Research Papers (2010) View citations (7) (2010)

2014

24. Bayesian option pricing using mixed normal heteroskedasticity models
    Computational Statistics & Data Analysis, 2014, 76, (C), 588-605 View citations (9)
    See also Working Paper Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models, Cahiers de recherche (2009) View citations (4) (2009)
25. Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan
    Risk Management and Insurance Review, 2014, 17, (1), 37-59
26. Refining the least squares Monte Carlo method by imposing structure
    Quantitative Finance, 2014, 14, (3), 495-507 View citations (8)
27. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
    International Journal of Forecasting, 2014, 30, (1), 78-98 View citations (7)
    See also Working Paper The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options, CIRANO Working Papers (2012) (2012)

2013

28. If we can simulate it, we can insure it: An application to longevity risk management
    Insurance: Mathematics and Economics, 2013, 52, (1), 35-45 View citations (13)
    See also Working Paper If we can simulate it, we can insure it: An application to longevity risk management, CIRANO Working Papers (2012) (2012)

2011

29. American option pricing with discrete and continuous time models: An empirical comparison
    Journal of Empirical Finance, 2011, 18, (5), 880-902 View citations (9)
    See also Working Paper American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison, CREATES Research Papers (2011) View citations (8) (2011)
30. Multivariate option pricing with time varying volatility and correlations
    Journal of Banking & Finance, 2011, 35, (9), 2267-2281 View citations (26)
    See also Working Paper Multivariate Option Pricing With Time Varying Volatility and Correlations, CIRANO Working Papers (2010) View citations (1) (2010)

2008

31. American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
    Journal of Financial Econometrics, 2008, 6, (4), 540-582 View citations (39)
    See also Working Paper American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution, CREATES Research Papers (2008) View citations (41) (2008)

2005

32. Pricing American options when the underlying asset follows GARCH processes
    Journal of Empirical Finance, 2005, 12, (4), 576-611 View citations (26)

2004

33. Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
    Review of Derivatives Research, 2004, 7, (2), 129-168 View citations (78)
34. Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
    Management Science, 2004, 50, (9), 1193-1203 View citations (82)

Undated

35. Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression
    Journal of Computational Finance

Chapters

2013

1. American option pricing using simulation with an application to the GARCH model
   Chapter 5 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 114-147