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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
2242004
Assessing the least squares Monte-Carlo approach to American option valuation
L Stentoft
Review of Derivatives research 7 (2), 129-168, 2004
1752004
Pricing American options when the underlying asset follows GARCH processes
L Stentoft
Journal of Empirical Finance 12 (4), 576-611, 2005
902005
American option pricing using GARCH models and the normal inverse Gaussian distribution
L Stentoft
Journal of Financial Econometrics 6 (4), 540-582, 2008
752008
Option pricing using realized volatility
L Stentoft
CREATES Research Paper 13, 2008
492008
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
422013
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
322014
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
322013
Multivariate option pricing with time varying volatility and correlations
JVK Rombouts, L Stentoft
Journal of Banking & Finance 35 (9), 2267-2281, 2011
302011
Seasonality in economic models
B Brendstrup, S Hylleberg, MØ Nielsen, L Skipper, L Stentoft
Macroeconomic Dynamics 8 (3), 362-394, 2004
272004
Bayesian option pricing using mixed normal heteroskedasticity models
JVK Rombouts, L Stentoft
Computational Statistics & Data Analysis 76, 588-605, 2014
24*2014
Refining the least squares Monte Carlo method by imposing structure
P Létourneau, L Stentoft
Quantitative Finance 14 (3), 495-507, 2014
212014
Option pricing with asymmetric heteroskedastic normal mixture models
JVK Rombouts, L Stentoft
International Journal of Forecasting 31 (3), 635-650, 2015
19*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
162014
American option pricing with discrete and continuous time models: An empirical comparison
L Stentoft
Journal of Empirical Finance 18 (5), 880-902, 2011
162011
Option pricing with conditional GARCH models
M Escobar-Anel, J Rastegari, L Stentoft
European Journal of Operational Research 289 (1), 350-363, 2021
112021
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
11*2012
Which pricing approach for options under GARCH with non-normal innovations?
JG Simonato, L Stentoft
School of Economics and Management, 2015
102015
Least squares monte-carlo garch methods for american options: Theory and applications
L Stentoft
Aarhus Universitet, Institut for Økonomi, 2004
102004
Stationary threshold vector autoregressive models
G Grynkiv, L Stentoft
Journal of Risk and Financial Management 11 (3), 45, 2018
92018
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