Lars Stentoft
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Lars |
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Stentoft |
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Contact
Affiliations
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University of Western Ontario
/ Department of Economics (weight: 34%)
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Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 33%)
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (weight: 33%)
Research profile
author of:
- Unawareness Premia (RePEc:aah:aarhec:2023-09)
by Scott Condie & Lars Stentoft & Marie-Louise Vierø - Option Pricing using Realized Volatility (RePEc:aah:create:2008-13)
by Lars Stentoft - American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution (RePEc:aah:create:2008-41)
by Lars Stentoft - Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (RePEc:aah:create:2009-07)
by Jeroen V.K. Rombouts & Lars Stentoft - Multivariate Option Pricing with Time Varying Volatility and Correlations (RePEc:aah:create:2010-19)
by Jeroen V.K. Rombouts & Lars Stentoft - Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models (RePEc:aah:create:2010-44)
by Jeroen V.K. Rombouts & Lars Stentoft - American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison (RePEc:aah:create:2011-34)
by Lars Stentoft - What we can learn from pricing 139,879 Individual Stock Options (RePEc:aah:create:2011-52)
by Lars Stentoft - The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options (RePEc:aah:create:2012-04)
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante - Which pricing approach for options under GARCH with non-normal innovations? (RePEc:aah:create:2015-32)
by Jean-Guy Simonato & Lars Stentoft - Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability (RePEc:aah:create:2017-10)
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante - Variance swap payoffs, risk premia and extreme market conditions (RePEc:aah:create:2017-21)
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante - A theoretical framework for trading experiments (RePEc:arx:papers:1306.2073)
by Maxence Soumare & J{o}rgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Gu'egan & Justin Leroux & Michel Miniconi & Lars Stentoft - Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan (RePEc:bla:rmgtin:v:17:y:2014:i:1:p:37-59)
by M. Martin Boyer & Joanna Mejza & Lars Stentoft - Yes We Can (Price Derivatives on Survivor Indices) (RePEc:bla:rmgtin:v:20:y:2017:i:1:p:37-62)
by M. Martin Boyer & Lars Stentoft - Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (RePEc:cir:cirwor:2009s-19)
by Jeroen Rombouts & Lars Stentoft - Multivariate Option Pricing With Time Varying Volatility and Correlations (RePEc:cir:cirwor:2010s-23)
by Jeroen Rombouts & Lars Stentoft - Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models (RePEc:cir:cirwor:2010s-38)
by Jeroen Rombouts & Lars Stentoft - Measuring Longevity Risk for a Canadian Pension Fund (RePEc:cir:cirwor:2011s-43)
by M. Martin Boyer & Joanna Mejza & Lars Stentoft - The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options (RePEc:cir:cirwor:2012s-05)
by Jeroen Rombouts & Lars Stentoft & Francesco Violente - If we can simulate it, we can insure it: An application to longevity risk management (RePEc:cir:cirwor:2012s-08)
by M. Martin Boyer & Lars Stentoft - Bayesian option pricing using mixed normal heteroskedasticity models (RePEc:cor:louvco:2009013)
by ROMBOUTS, Jeroen V.K. & STENTOFT, Lars - Multivariate option pricing with time varying volatility and correlations (RePEc:cor:louvco:2010020)
by ROMBOUTS, Jeroen J. K & STENTOFT, Lars - Option pricing with asymmetric heteroskedastic normal mixture models (RePEc:cor:louvco:2010049)
by ROMBOUTS, Jeroen V. K. & STENTOFT, Lars - The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options (RePEc:cor:louvco:2012003)
by ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco - Bayesian option pricing using mixed normal heteroskedasticity models (RePEc:eee:csdana:v:76:y:2014:i:c:p:588-605)
by Rombouts, Jeroen V.K. & Stentoft, Lars - Dynamics of variance risk premia: A new model for disentangling the price of risk (RePEc:eee:econom:v:217:y:2020:i:2:p:312-334)
by Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco - Variance swap payoffs, risk premia and extreme market conditions (RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124)
by Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco - Option pricing with conditional GARCH models (RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363)
by Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars - Pricing American options when the underlying asset follows GARCH processes (RePEc:eee:empfin:v:12:y:2005:i:4:p:576-611)
by Stentoft, Lars - American option pricing with discrete and continuous time models: An empirical comparison (RePEc:eee:empfin:v:18:y:2011:i:5:p:880-902)
by Stentoft, Lars - Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing (RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001382)
by Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars - A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options (RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004094)
by Reesor, R. Mark & Stentoft, Lars & Zhu, Xiaotian - Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models (RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010833)
by Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize - If we can simulate it, we can insure it: An application to longevity risk management (RePEc:eee:insuma:v:52:y:2013:i:1:p:35-45)
by Boyer, M. Martin & Stentoft, Lars - The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options (RePEc:eee:intfor:v:30:y:2014:i:1:p:78-98)
by Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso - Option pricing with asymmetric heteroskedastic normal mixture models (RePEc:eee:intfor:v:31:y:2015:i:3:p:635-650)
by Rombouts, Jeroen V.K. & Stentoft, Lars - Pricing individual stock options using both stock and market index information (RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000)
by Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco - Affine multivariate GARCH models (RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618)
by Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars - Multivariate option pricing with time varying volatility and correlations (RePEc:eee:jbfina:v:35:y:2011:i:9:p:2267-2281)
by Rombouts, Jeroen V.K. & Stentoft, Lars - American option pricing using simulation with an application to the GARCH model (RePEc:elg:eechap:14545_5)
by Lars Stentoft - Stationary Threshold Vector Autoregressive Models (RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:45-:d:162047)
by Galyna Grynkiv & Lars Stentoft - Efficient Numerical Pricing of American Call Options Using Symmetry Arguments (RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:59-:d:221155)
by Lars Stentoft - Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method (RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:190-:d:298216)
by Pascal Létourneau & Lars Stentoft - Computational Finance (RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:145-:d:380235)
by Lars Stentoft - Efficient Variance Reduction for American Call Options Using Symmetry Arguments (RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:504-:d:660556)
by François-Michel Boire & R. Mark Reesor & Lars Stentoft - American Option Pricing with Importance Sampling and Shifted Regressions (RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:340-:d:599073)
by Francois-Michel Boire & R. Mark Reesor & Lars Stentoft - A theoretical framework for trading experiments (RePEc:hal:cesptp:halshs-00768898)
by Maxence Soumare & Jørgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Guegan & Justin Leroux & Michel Miniconi & Lars Stentoft - A theoretical framework for trading experiments (RePEc:hal:journl:halshs-00768898)
by Maxence Soumare & Jørgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Guegan & Justin Leroux & Michel Miniconi & Lars Stentoft - Convergence of the Least Squares Monte Carlo Approach to American Option Valuation (RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1193-1203)
by Lars Stentoft - Assessing the Least Squares Monte-Carlo Approach to American Option Valuation (RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168)
by Lars Stentoft - Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (RePEc:lvl:lacicr:0926)
by Jeroen V.K. Rombouts & Lars Stentoft - Multivariate Option Pricing with Time Varying Volatility and Correlations (RePEc:lvl:lacicr:1020)
by Jeroen V.K. Rombouts & Lars Stentoft - A theoretical framework for trading experiments (RePEc:mse:cesdoc:12083)
by Maxence Soumare & Jørgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Guegan & Justin Leroux & Michel Miniconi & Lars Stentoft - Regulatory Capital and Incentives for Risk Model Choice under Basel 3
[Procyclical Leverage and Value-at-Risk] (RePEc:oup:jfinec:v:19:y:2021:i:1:p:53-96.)
by Fred Liu & Lars Stentoft - Intraday Market Predictability: A Machine Learning Approach (RePEc:oup:jfinec:v:21:y:2023:i:2:p:485-527.)
by Dillon Huddleston & Fred Liu & Lars Stentoft - American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution (RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582)
by Lars Stentoft - Les modèles factoriels et la gestion du risque de longévité (RePEc:ris:actuec:0131)
by Boyer, Martin & Dorion, Christian & Stentoft, Lars - Refining the least squares Monte Carlo method by imposing structure (RePEc:taf:quantf:v:14:y:2014:i:3:p:495-507)
by Pascal L�tourneau & Lars Stentoft - Simulated Greeks for American options (RePEc:taf:quantf:v:23:y:2023:i:4:p:653-676)
by Pascal Letourneau & Lars Stentoft - Smile‐implied hedging with volatility risk (RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1220-1240)
by Pascal François & Lars Stentoft