Details about Lars Stentoft

Access statistics for papers by Lars Stentoft.

Last updated 2022-03-07. Update your information in the RePEc Author Service.

Short-id: pst129

Working Papers

2017

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

2015

3. 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

4. A theoretical framework for trading experiments
   Papers, arXiv.org
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)
   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)

2012

5. 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)
6. 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 in International Journal of Forecasting (2014)

2011

7. 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 (6)
   See also Journal Article in Journal of Empirical Finance (2011)
8. Measuring Longevity Risk for a Canadian Pension Fund
   CIRANO Working Papers, CIRANO
9. 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

10. 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)
    Cahiers de recherche, CIRPEE (2010)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
    See also Journal Article in Journal of Banking & Finance (2011)
11. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
    Also in CIRANO Working Papers, CIRANO (2010) View citations (8)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (7)
    See also Journal Article in International Journal of Forecasting (2015)

2009

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

2008

13. 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 (35)
    See also Journal Article in The Journal of Financial Econometrics (2008)
14. Option Pricing using Realized Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (29)

Journal Articles

2021

1. American Option Pricing with Importance Sampling and Shifted Regressions
   JRFM, 2021, 14, (8), 1-21
2. Efficient Variance Reduction for American Call Options Using Symmetry Arguments
   JRFM, 2021, 14, (11), 1-21
3. Option pricing with conditional GARCH models
   European Journal of Operational Research, 2021, 289, (1), 350-363 View citations (2)
4. Regulatory Capital and Incentives for Risk Model Choice under Basel 3*
   (Procyclical Leverage and Value-at-Risk)
   The Journal of Financial Econometrics, 2021, 19, (1), 53-96 View citations (1)
5. Smile‐implied hedging with volatility risk
   Journal of Futures Markets, 2021, 41, (8), 1220-1240

2020

6. Affine multivariate GARCH models
   Journal of Banking & Finance, 2020, 118, (C) View citations (1)
7. Computational Finance
   JRFM, 2020, 13, (7), 1-4
8. 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)
9. Pricing individual stock options using both stock and market index information
   Journal of Banking & Finance, 2020, 111, (C) View citations (1)
10. Variance swap payoffs, risk premia and extreme market conditions
    Econometrics and Statistics, 2020, 13, (C), 106-124 View citations (2)
    See also Working Paper (2017)

2019

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

2018

13. Stationary Threshold Vector Autoregressive Models
    JRFM, 2018, 11, (3), 1-23 View citations (2)

2017

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

2015

15. Les modèles factoriels et la gestion du risque de longévité
    L'Actualité Economique, 2015, 91, (4), 531-565
16. Option pricing with asymmetric heteroskedastic normal mixture models
    International Journal of Forecasting, 2015, 31, (3), 635-650 View citations (3)
    See also Working Paper (2010)

2014

17. Bayesian option pricing using mixed normal heteroskedasticity models
    Computational Statistics & Data Analysis, 2014, 76, (C), 588-605 View citations (7)
    See also Working Paper (2009)
18. Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan
    Risk Management and Insurance Review, 2014, 17, (1), 37-59
19. Refining the least squares Monte Carlo method by imposing structure
    Quantitative Finance, 2014, 14, (3), 495-507 View citations (7)
20. 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 (6)
    See also Working Paper (2012)

2013

21. 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 (12)
    See also Working Paper (2012)

2011

22. American option pricing with discrete and continuous time models: An empirical comparison
    Journal of Empirical Finance, 2011, 18, (5), 880-902 View citations (7)
    See also Working Paper (2011)
23. Multivariate option pricing with time varying volatility and correlations
    Journal of Banking & Finance, 2011, 35, (9), 2267-2281 View citations (23)
    See also Working Paper (2010)

2008

24. American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
    The Journal of Financial Econometrics, 2008, 6, (4), 540-582 View citations (31)
    See also Working Paper (2008)

2005

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

2004

26. Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
    Review of Derivatives Research, 2004, 7, (2), 129-168 View citations (67)
27. Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
    Management Science, 2004, 50, (9), 1193-1203 View citations (72)

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