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
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Working Papers
2017
- Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- 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
- 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
- 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
- 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)
- 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
- 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)
- Measuring Longevity Risk for a Canadian Pension Fund
CIRANO Working Papers, CIRANO
- 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
- 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)
- 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
- 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
- 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)
- Option Pricing using Realized Volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (29)
Journal Articles
2021
- American Option Pricing with Importance Sampling and Shifted Regressions
JRFM, 2021, 14, (8), 1-21
- Efficient Variance Reduction for American Call Options Using Symmetry Arguments
JRFM, 2021, 14, (11), 1-21
- Option pricing with conditional GARCH models
European Journal of Operational Research, 2021, 289, (1), 350-363 View citations (2)
- 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)
- Smile‐implied hedging with volatility risk
Journal of Futures Markets, 2021, 41, (8), 1220-1240
2020
- Affine multivariate GARCH models
Journal of Banking & Finance, 2020, 118, (C) View citations (1)
- Computational Finance
JRFM, 2020, 13, (7), 1-4
- 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)
- Pricing individual stock options using both stock and market index information
Journal of Banking & Finance, 2020, 111, (C) View citations (1)
- 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
- Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method
JRFM, 2019, 12, (4), 1-21 View citations (2)
- Efficient Numerical Pricing of American Call Options Using Symmetry Arguments
JRFM, 2019, 12, (2), 1-26 View citations (3)
2018
- Stationary Threshold Vector Autoregressive Models
JRFM, 2018, 11, (3), 1-23 View citations (2)
2017
- Yes We Can (Price Derivatives on Survivor Indices)
Risk Management and Insurance Review, 2017, 20, (1), 37-62
2015
- Les modèles factoriels et la gestion du risque de longévité
L'Actualité Economique, 2015, 91, (4), 531-565
- 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
- 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)
- Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan
Risk Management and Insurance Review, 2014, 17, (1), 37-59
- Refining the least squares Monte Carlo method by imposing structure
Quantitative Finance, 2014, 14, (3), 495-507 View citations (7)
- 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
- 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
- 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)
- 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
- 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
- Pricing American options when the underlying asset follows GARCH processes
Journal of Empirical Finance, 2005, 12, (4), 576-611 View citations (26)
2004
- Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
Review of Derivatives Research, 2004, 7, (2), 129-168 View citations (67)
- Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
Management Science, 2004, 50, (9), 1193-1203 View citations (72)
Chapters
2013
- 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
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