Lars Stentoft
Lars Stentoft
Associate Professor, Department of Economics, University of Western Ontario
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Convergence of the least squares Monte Carlo approach to American option valuation
L Stentoft
Management Science 50 (9), 1193-1203, 2004
Assessing the least squares Monte-Carlo approach to American option valuation
L Stentoft
Review of Derivatives research 7 (2), 129-168, 2004
Pricing American options when the underlying asset follows GARCH processes
L Stentoft
Journal of Empirical Finance 12 (4), 576-611, 2005
American option pricing using GARCH models and the normal inverse Gaussian distribution
L Stentoft
Journal of Financial Econometrics 6 (4), 540-582, 2008
Option pricing using realized volatility
L Stentoft
CREATES Research Paper 13, 2008
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
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
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
Multivariate option pricing with time varying volatility and correlations
JVK Rombouts, L Stentoft
Journal of Banking & Finance 35 (9), 2267-2281, 2011
Seasonality in economic models
B Brendstrup, S Hylleberg, MØ Nielsen, L Skipper, L Stentoft
Macroeconomic Dynamics 8 (3), 362-394, 2004
Bayesian option pricing using mixed normal heteroskedasticity models
JVK Rombouts, L Stentoft
Computational Statistics & Data Analysis 76, 588-605, 2014
Refining the least squares Monte Carlo method by imposing structure
P Létourneau, L Stentoft
Quantitative Finance 14 (3), 495-507, 2014
Option pricing with asymmetric heteroskedastic normal mixture models
JVK Rombouts, L Stentoft
International Journal of Forecasting 31 (3), 635-650, 2015
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
American option pricing with discrete and continuous time models: An empirical comparison
L Stentoft
Journal of Empirical Finance 18 (5), 880-902, 2011
Option pricing with conditional GARCH models
M Escobar-Anel, J Rastegari, L Stentoft
European Journal of Operational Research 289 (1), 350-363, 2021
American option pricing using simulation: An introduction with an application to the GARCH option pricing model
L Stentoft
Handbook of research methods and applications in empirical finance, Adrian …, 2012
Which pricing approach for options under GARCH with non-normal innovations?
JG Simonato, L Stentoft
School of Economics and Management, 2015
Least squares monte-carlo garch methods for american options: Theory and applications
L Stentoft
Aarhus Universitet, Institut for Økonomi, 2004
Stationary threshold vector autoregressive models
G Grynkiv, L Stentoft
Journal of Risk and Financial Management 11 (3), 45, 2018
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