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Lars Stentoft

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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://economics.uwo.ca/people/faculty/stentoft.html
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Location: London, Canada
Homepage: http://economics.uwo.ca/
Email:
Phone: (519) 661-3500
Fax: (519) 661-3666
Postal: Faculty of Social Sciences, London, Ontario, N6A 5C2
Handle: RePEc:edi:deuwoca (more details at EDIRC)
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
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Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)
Location: Montréal, Canada
Homepage: http://www.cirano.qc.ca/
Email:
Phone: (514) 985-4000
Fax: (514) 985-4039
Postal: 1130 rue Sherbrooke Ouest, suite 1400, Montréal, Quéc, H3A 2M8
Handle: RePEc:edi:ciranca (more details at EDIRC)
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  1. 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.
  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. Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers 2011-52, School of Economics and Management, University of Aarhus.
  5. Lars Stentoft, 2011. "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers 2011-34, School of Economics and Management, University of Aarhus.
  6. M. Martin Boyer & Joanna Mejza & Lars Peter Stentoft, 2011. "Measuring Longevity Risk for a Canadian Pension Fund," CIRANO Working Papers 2011s-43, CIRANO.
  7. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, School of Economics and Management, University of Aarhus.
  8. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, School of Economics and Management, University of Aarhus.
  9. 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.
  10. 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.
  11. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus.
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  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. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  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.
21 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGE: Economics of Ageing (1) 2011-05-14
  2. NEP-BEC: Business Economics (1) 2010-09-25
  3. NEP-CBE: Cognitive & Behavioural Economics (1) 2012-12-22
  4. NEP-CMP: Computational Economics (1) 2012-05-08
  5. NEP-CWA: Central & Western Asia (1) 2012-02-15
  6. NEP-ECM: Econometrics (10) 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. Author is listed
  7. NEP-ETS: Econometric Time Series (2) 2012-01-10 2012-02-15
  8. NEP-EXP: Experimental Economics (3) 2012-12-22 2013-01-19 2013-06-16
  9. NEP-FMK: Financial Markets (4) 2008-06-27 2008-09-05 2010-05-29 2012-01-10
  10. 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
  11. NEP-INT: International Trade (1) 2013-01-19
  12. NEP-MST: Market Microstructure (1) 2008-06-27
  13. 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
  14. NEP-RMG: Risk Management (2) 2012-03-14 2012-05-08

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