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Lars Stentoft

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Personal Details

First Name:Lars
Middle Name:
Last Name:Stentoft
Suffix:
RePEc Short-ID:pst129
http://economics.uwo.ca/people/faculty/stentoft.html
London, Canada
http://economics.uwo.ca/

: (519) 661-3500
(519) 661-3666
Faculty of Social Sciences, London, Ontario, N6A 5C2
RePEc:edi:deuwoca (more details at EDIRC)
Montréal, Canada
http://www.cirano.qc.ca/

: (514) 985-4000
(514) 985-4039
1130 rue Sherbrooke Ouest, suite 1400, Montréal, Quéc, H3A 2M8
RePEc:edi:ciranca (more details at EDIRC)
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  1. Jean-Guy Simonato & Lars Stentoft, 2015. "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers 2015-32, Department of Economics and Business Economics, Aarhus University.
  2. Jeroen Rombouts & Lars Peter Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
  3. Maxence Soumare & Jørgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Guegan & Justin Leroux & Michel Miniconi & Lars Stentoft, 2012. "A theoretical framework for trading experiments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00768898, HAL.
  4. M. Martin Boyer & Lars Peter Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers 2012s-08, CIRANO.
  5. M. Martin Boyer & Joanna Mejza & Lars Peter Stentoft, 2011. "Measuring Longevity Risk for a Canadian Pension Fund," CIRANO Working Papers 2011s-43, CIRANO.
  6. Lars Stentoft, 2011. "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers 2011-34, Department of Economics and Business Economics, Aarhus University.
  7. Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers 2011-52, Department of Economics and Business Economics, Aarhus University.
  8. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, Department of Economics and Business Economics, Aarhus University.
  9. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, Department of Economics and Business Economics, Aarhus University.
  10. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
  11. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, Department of Economics and Business Economics, Aarhus University.
  12. Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, Department of Economics and Business Economics, Aarhus University.
  1. Rombouts, Jeroen V.K. & Stentoft, Lars, 2015. "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 635-650.
  2. Pascal Létourneau & Lars Stentoft, 2014. "Refining the least squares Monte Carlo method by imposing structure," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 495-507, March.
  3. M. Martin Boyer & Joanna Mejza & Lars Stentoft, 2014. "Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 17(1), pages 37-59, 03.
  4. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  5. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  6. Boyer, M. Martin & Stentoft, Lars, 2013. "If we can simulate it, we can insure it: An application to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 35-45.
  7. Stentoft, Lars, 2011. "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 880-902.
  8. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
  9. Lars Stentoft, 2008. "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 540-582, Fall.
  10. 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.
  11. 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.
  12. Lars Stentoft, 2004. "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation," Management Science, INFORMS, vol. 50(9), pages 1193-1203, September.
  13. 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.
  1. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147 Edward Elgar Publishing.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 22 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (11) 2008-09-05 2009-05-16 2009-09-26 2010-03-28 2010-05-22 2010-06-11 2010-09-03 2010-09-25 2012-01-10 2012-02-15 2015-08-25. Author is listed
  2. NEP-ORE: Operations Research (11) 2008-09-05 2009-09-26 2010-03-28 2010-05-22 2010-05-29 2010-06-11 2010-09-03 2011-02-12 2011-10-09 2012-01-10 2012-02-15. Author is listed
  3. NEP-FOR: Forecasting (8) 2009-05-16 2009-09-26 2010-03-28 2010-09-03 2010-09-25 2011-02-12 2012-02-15 2012-03-14. Author is listed
  4. NEP-FMK: Financial Markets (4) 2008-06-27 2008-09-05 2010-05-29 2012-01-10
  5. NEP-EXP: Experimental Economics (3) 2012-12-22 2013-01-19 2013-06-16
  6. NEP-ETS: Econometric Time Series (2) 2012-01-10 2012-02-15
  7. NEP-RMG: Risk Management (2) 2012-03-14 2012-05-08
  8. NEP-AGE: Economics of Ageing (1) 2011-05-14
  9. NEP-BEC: Business Economics (1) 2010-09-25
  10. NEP-CBE: Cognitive & Behavioural Economics (1) 2012-12-22
  11. NEP-CMP: Computational Economics (1) 2012-05-08
  12. NEP-CWA: Central & Western Asia (1) 2012-02-15
  13. NEP-INT: International Trade (1) 2013-01-19
  14. NEP-MST: Market Microstructure (1) 2008-06-27

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