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Lars Stentoft
Lars Stentoft
Associate Professor, Department of Economics, University of Western Ontario
Verified email at uwo.ca
Title
Cited by
Cited by
Year
Convergence of the least squares Monte Carlo approach to American option valuation
L Stentoft
Management Science 50 (9), 1193-1203, 2004
2462004
Assessing the least squares Monte-Carlo approach to American option valuation
L Stentoft
Review of Derivatives research 7, 129-168, 2004
1892004
Pricing American options when the underlying asset follows GARCH processes
L Stentoft
Journal of Empirical Finance 12 (4), 576-611, 2005
962005
American option pricing using GARCH models and the normal inverse Gaussian distribution
L Stentoft
Journal of Financial Econometrics 6 (4), 540-582, 2008
852008
Option pricing using realized volatility
L Stentoft
Available at SSRN 1108007, 2008
532008
If we can simulate it, we can insure it: An application to longevity risk management
MM Boyer, L Stentoft
Insurance: Mathematics and Economics 52 (1), 35-45, 2013
482013
Seasonality in economic models
B Brendstrup, S Hylleberg, MØ Nielsen, L Skipper, L Stentoft
Macroeconomic Dynamics 8 (3), 362-394, 2004
402004
Value function approximation or stopping time approximation: A comparison of two recent numerical methods for American option pricing using simulation and regression
L Stentoft
Journal of Computational Finance 18 (1), 2014
362014
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
M Denault, JG Simonato, L Stentoft
Computers & Operations Research 40 (11), 2760-2769, 2013
352013
Multivariate option pricing with time varying volatility and correlations
JVK Rombouts, L Stentoft
Journal of Banking & Finance 35 (9), 2267-2281, 2011
332011
Bayesian option pricing using mixed normal heteroskedasticity models
JVK Rombouts, L Stentoft
Computational statistics & data analysis 76, 588-605, 2014
28*2014
Refining the least squares Monte Carlo method by imposing structure
P Létourneau, L Stentoft
Quantitative Finance 14 (3), 495-507, 2014
272014
American option pricing with discrete and continuous time models: An empirical comparison
L Stentoft
Journal of Empirical Finance 18 (5), 880-902, 2011
222011
Option pricing with asymmetric heteroskedastic normal mixture models
JVK Rombouts, L Stentoft
International Journal of Forecasting 31 (3), 635-650, 2015
20*2015
Option pricing with conditional GARCH models
M Escobar-Anel, J Rastegari, L Stentoft
European Journal of Operational Research 289 (1), 350-363, 2021
192021
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
J Rombouts, L Stentoft, F Violante
International Journal of Forecasting 30 (1), 78-98, 2014
192014
Stationary threshold vector autoregressive models
G Grynkiv, L Stentoft
Journal of Risk and Financial Management 11 (3), 45, 2018
152018
Affine multivariate GARCH models
M Escobar-Anel, J Rastegari, L Stentoft
Journal of Banking & Finance 118, 105895, 2020
132020
Regulatory capital and incentives for risk model choice under Basel 3
F Liu, L Stentoft
Journal of Financial Econometrics 19 (1), 53-96, 2021
112021
Which pricing approach for options under GARCH with non-normal innovations?
JG Simonato, L Stentoft
102015
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