Details about Lars Stentoft

Access statistics for papers by Lars Stentoft.

Last updated 2019-06-07. 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

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 (2)

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)

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 CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012)
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (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 (3)
   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 CORE Discussion Papers, 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 (5)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (4)
    CIRANO Working Papers, CIRANO (2010) View citations (6)
    See also Journal Article in International Journal of Forecasting (2015)

2009

12. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
    Cahiers de recherche, CIRPEE View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) View citations (3)
    CIRANO Working Papers, CIRANO (2009) View citations (6)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (3)
    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 (32)
    See also Journal Article in Journal of Financial Econometrics (2008)
14. Option Pricing using Realized Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (27)

Journal Articles

2019

1. Efficient Numerical Pricing of American Call Options Using Symmetry Arguments
   Journal of Risk and Financial Management, 2019, 12, (2), 1-26

2018

2. Stationary Threshold Vector Autoregressive Models
   Journal of Risk and Financial Management, 2018, 11, (3), 1-23

2017

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

2015

4. Les modèles factoriels et la gestion du risque de longévité
   L'Actualité Economique, 2015, 91, (4), 531-565
5. Option pricing with asymmetric heteroskedastic normal mixture models
   International Journal of Forecasting, 2015, 31, (3), 635-650 View citations (1)
   See also Working Paper (2010)

2014

6. Bayesian option pricing using mixed normal heteroskedasticity models
   Computational Statistics & Data Analysis, 2014, 76, (C), 588-605 View citations (4)
   See also Working Paper (2009)
7. Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan
   Risk Management and Insurance Review, 2014, 17, (1), 37-59
8. Refining the least squares Monte Carlo method by imposing structure
   Quantitative Finance, 2014, 14, (3), 495-507 View citations (5)
9. 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 (3)
   See also Working Paper (2012)

2013

10. 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 (8)
    See also Working Paper (2012)

2011

11. American option pricing with discrete and continuous time models: An empirical comparison
    Journal of Empirical Finance, 2011, 18, (5), 880-902 View citations (4)
    See also Working Paper (2011)
12. Multivariate option pricing with time varying volatility and correlations
    Journal of Banking & Finance, 2011, 35, (9), 2267-2281 View citations (16)
    See also Working Paper (2010)

2008

13. American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
    Journal of Financial Econometrics, 2008, 6, (4), 540-582 View citations (28)
    See also Working Paper (2008)

2005

14. Pricing American options when the underlying asset follows GARCH processes
    Journal of Empirical Finance, 2005, 12, (4), 576-611 View citations (24)

2004

15. Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
    Review of Derivatives Research, 2004, 7, (2), 129-168 View citations (35)
16. Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
    Management Science, 2004, 50, (9), 1193-1203 View citations (42)
17. SEASONALITY IN ECONOMIC MODELS
    Macroeconomic Dynamics, 2004, 8, (03), 362-394 View citations (10)

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