Lars Stentoft
机构: Associate Professor, Department of Economics, University of Western Ontario
每年引用次数
引用次数
引用: 1,208
H-指数: 17
I10-指数 : 22
出版物: 63
SEASONALITY IN ECONOMIC MODELS
BJARNE BRENDSTRUP , SVEND HYLLEBERG , MORTEN RREGAARD NIELSEN , LARS SKIPPER
Macroeconomic Dynamics 8 ( 3) 362 -394
13
2004
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
L. Stentoft
Journal of Financial Econometrics 6 ( 4) 540 -582
80
2008
Which pricing approach for options under GARCH with non-normal innovations?
Jean-Guy Simonato , Lars Stentoft
CREATES Research Papers
3
2015
Pricing Survivor Forwards and Swaps in Incomplete Markets Using Simulation Techniques
Lars Stentoft , M. Martin Boyer , Amélie Favaro
Special Issues 2012 ( 1) 69 -87
1
2012
American Option Pricing When the Underlying Assets Follow Augmented GARCH Processes and Their Diffusion Limits
Lars Stentoft
2008
2
2006
American Option Pricing Using Simulation: An Introduction with an Application to the GARCH Option Pricing Model
Lars Stentoft , Lars Stentoft , Lars Stentoft
Social Science Research Network
7
2012
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
Jeroen V.K. Rombouts , Lars Stentoft , Francesco Violante
CREATES Research Papers
2017
Smile‐implied hedging with volatility risk
Lars Stentoft , Pascal François
Journal of Futures Markets
2021
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
Lars Stentoft
Review of Derivatives Research 7 ( 2) 129 -168
182
2004
Option pricing with conditional GARCH models
Marcos Escobar-Anel , Javad Rastegari , Lars Stentoft
European Journal of Operational Research 289 ( 1) 350 -363
13
2021
Pricing American options when the underlying asset follows GARCH processes
Lars Stentoft
Journal of Empirical Finance 12 ( 4) 576 -611
94
2005
American option pricing with discrete and continuous time models: An empirical comparison
Lars Stentoft
Journal of Empirical Finance 18 ( 5) 880 -902
9
2011
Variance swap payoffs, risk premia and extreme market conditions
Jeroen V.K. Rombouts , Lars Stentoft , Francesco Violante
Econometrics and Statistics 13 106 -124
3
2020
What We Can Learn from Pricing 139,879 Individual Stock Options
Lars Stentoft
Journal of Derivatives 22 ( 4) 54 -78
4
2015
American Option Pricing Using Simulation and Regression: Numerical Convergence Results
Lars Stentoft
Social Science Research Network 57 -94
5
2012
Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method
Pascal Létourneau , Lars Stentoft
Journal of Risk and Financial Management 12 ( 4) 190
2019
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments
Lars Stentoft
Journal of Risk and Financial Management 12 ( 2) 59
8
2019
Stationary Threshold Vector Autoregressive Models
Galyna Grynkiv , Lars Stentoft
Journal of Risk and Financial Management 11 ( 3) 45
2
2018
Multivariate option pricing with time varying volatility and correlations
Jeroen V.K. Rombouts , Lars Stentoft
Journal of Banking and Finance 35 ( 9) 2267 -2281
26
2011