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Information about:
Lars Stentoft

Personal Details | Affiliation | Works
This is information that was supplied by Lars Stentoft in registering through RePEc. If you are Lars Stentoft , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Lars
Middle Name:
Last Name: Stentoft
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RePEc Short-ID: pst129

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Homepage: http://www.hec.ca/en/profs/lars.stentoft.html
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:

  2. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity," Cahiers de recherche 0926, CIRPEE. [Downloadable!]

  3. Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

  4. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus. [Downloadable!]

Articles

  1. Lars Stentoft, 2008. "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall. [Downloadable!] (restricted)
    Other versions:

  2. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September. [Downloadable!] (restricted)

  3. Lars Stentoft, 2004. "Assessing the Least Squares Monte-Carlo Approach to American Option Valuation," Review of Derivatives Research, Springer, vol. 7(2), pages 129-168, 08. [Downloadable!]

  4. Brendstrup, Bjarne & Hylleberg, Svend & Nielsen, Morten Rregaard & Skipper, Lars & Stentoft, Lars, 2004. "Seasonality In Economic Models," Macroeconomic Dynamics, Cambridge University Press, vol. 8(03), pages 362-394, June. [Downloadable!]

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (3) 2008-09-05 2009-05-16 2009-09-26 Author is listed
  2. NEP-FMK: Financial Markets (2) 2008-06-27 2008-09-05 Author is listed
  3. NEP-FOR: Forecasting (2) 2009-05-16 2009-09-26 Author is listed
  4. NEP-MST: Market Microstructure (1) 2008-06-27 Author is listed
  5. NEP-ORE: Operations Research (2) 2008-09-05 2009-09-26 Author is listed
  6. NEP-PKE: Post Keynesian Economics (1) 2009-09-26 Author is listed
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This page was last updated on 2009-11-25.

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