Lars Stentoft

Department of Economics, University of Western Ontario

Associate Professor

London, Ontario N6A 5B8

Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th floor

Montreal H3C 3J7, Quebec

Canada

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

  • Department of Economics, University of Western Ontario

SCHOLARLY PAPERS

22

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42

CROSSREF CITATIONS

51

Scholarly Papers (22)

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1.

Option Pricing Using Realized Volatility

Downloads 842 ( 30,394)
Citation 17

Option Pricing Using Realized Volatility

CREATES Research Paper 2008-13, EFA 2008 Athens Meetings Paper
Number of pages: 38 Posted: 23 Jan 2008
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 598 (47,624)
Citation 23

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Option Pricing, Realized Volatility, Stochastic Volatility, GARCH

Option Pricing Using Realized Volatility

CREATES Research Paper No. 2008-13
Number of pages: 40 Posted: 23 Jun 2008
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 244 (135,592)
Citation 22

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Option Pricing, Realized Volatility, Stochastic Volatility, GARCH

2.

American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution

Downloads 690 ( 39,930)
Citation 3

American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution

Number of pages: 40 Posted: 20 Nov 2006 Last Revised: 13 Nov 2007
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 530 (55,609)
Citation 1

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GARCH models, Normal Inverse Gaussian distribution, American Options, Least Squares Monte-Carlo

American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution

CREATES Research Paper No. 2008-41
Number of pages: 49 Posted: 03 Sep 2008
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 160 (200,722)
Citation 4

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American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 540-582, 2008
Posted: 16 Oct 2008
Lars Stentoft
Department of Economics, University of Western Ontario

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C22, C53, G13, American options, GARCH models, least squares Monte Carlo method, normal inverse Gaussian distribution

3.

Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression

Downloads 332 ( 98,149)
Citation 6

Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression

Number of pages: 48 Posted: 12 Dec 2008 Last Revised: 26 Apr 2012
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 332 (97,502)
Citation 7

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American Options, Least Squares Regression, Monte Carlo Simulation, Optimal Stopping Time Iteration, Value Function Iteration

Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing Using Simulation and Regression

Journal of Computational Finance, Vol. 18, No. 1, 2014
Number of pages: 56 Posted: 04 Jun 2016
Lars Stentoft
Department of Economics, University of Western Ontario
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American option pricing, stopping time approximation, value function approximation

4.

Seasonality in Economic Models

Downloads 271 (122,156)

Seasonality in Economic Models

University of Aarhus, Economics Working Paper No. 2001-16
Number of pages: 42 Posted: 18 Dec 2001
Bjarne Brendstrup, Svend Hylleberg, Morten Ørregaard Nielsen, Lars Skipper and Lars Stentoft
Aarhus University - Department of Economics, Aarhus University - Department of Economics, Queen's University - Department of Economics, Aarhus University - Department of Economics and Department of Economics, University of Western Ontario
Downloads 271 (121,539)
Citation 1

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Seasonality, Economic Modeling

Seasonality in Economic Models

Macroeconomic Dynamics, Vol. 8, pp. 362-394, 2004
Posted: 20 Jun 2004
Bjarne Brendstrup, Svend Hylleberg, Morten Ørregaard Nielsen, Lars Skipper and Lars Stentoft
Aarhus University - Department of Economics, Aarhus University - Department of Economics, Queen's University - Department of Economics, Aarhus University - Department of Economics and Department of Economics, University of Western Ontario

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Seasonality, economic modelling

5.

Refining the Least Squares Monte Carlo Method by Imposing Structure

Number of pages: 32 Posted: 08 May 2012 Last Revised: 28 Feb 2013
Pascal Letourneau and Lars Stentoft
University of Wisconsin - Whitewater and Department of Economics, University of Western Ontario
Downloads 263 (126,101)
Citation 1

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American options, bias reduction, constrained regression, simulation

6.

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Number of pages: 51 Posted: 12 Dec 2008 Last Revised: 24 Feb 2009
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 260 (127,692)
Citation 4

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Bayesian inference, option pricing, finite mixture models, out-of-sample prediction, GARCH models

7.

Multivariate Option Pricing with Time Varying Volatility and Correlations

Downloads 252 (131,784)
Citation 6

Multivariate Option Pricing with Time Varying Volatility and Correlations

CREATES Research Paper No. 2010-19
Number of pages: 40 Posted: 12 May 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 108 (273,172)
Citation 1

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Multivariate risk premia, Option pricing, GARCH models

Multivariate Option Pricing with Time Varying Volatility and Correlations

CIRANO - Scientific Publications 2010s-23
Number of pages: 40 Posted: 20 May 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 77 (340,076)
Citation 7

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Multivariate risk premia, Option pricing, GARCH models

Multivariate Option Pricing with Time Varying Volatility and Correlations

Number of pages: 39 Posted: 26 Aug 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 67 (368,066)
Citation 1

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Multivariate risk premia, Option pricing, GARCH models

8.

American Option Pricing Using Simulation and Regression: Numerical Convergence Results

Number of pages: 43 Posted: 22 Nov 2011
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 194 (169,297)

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American options, convergence, Monte Carlo simulation, regression

9.

American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison

Number of pages: 49 Posted: 02 Jul 2011
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 178 (182,901)
Citation 2

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American Options, Augmented GARCH, Least Squares Monte Carlo, Stochastic Volatility

10.

American Option Pricing Using Simulation: An Introduction with an Application to the GARCH Option Pricing Model

HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE, Adrian Bell, Chris Brooks, Marcel Prokopczuk, eds., Edward Elgar Publishing, 2012
Number of pages: 52 Posted: 25 Apr 2012
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 141 (222,415)

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American options, GARCH models, simulation

11.

If We Can Simulate it, We Can Insure it: An Application to Longevity Risk Management

CIRANO - Scientific Publications 2012s-08
Number of pages: 42 Posted: 09 May 2012
M. Martin Boyer and Lars Stentoft
HEC Montreal - Department of Finance and Department of Economics, University of Western Ontario
Downloads 105 (277,008)
Citation 4

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Least squares Monte Carlo, Longevity risk, Reinsurance, Simulation

12.

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

CIRANO - Scientific Publications No. 2010s-38
Posted: 25 Sep 2010 Last Revised: 15 Nov 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 84 (319,707)
Citation 6

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Asymmetric Heteroskedastic Models, Finite Mixture Models, Option Pricing

13.

Measuring Longevity Risk for a Canadian Pension Fund

CIRANO - Scientific Publication No. 2011s-43
Number of pages: 32 Posted: 29 Aug 2011
M. Martin Boyer, Lars Stentoft and Joanna Mejza
HEC Montreal - Department of Finance, Department of Economics, University of Western Ontario and HEC Montreal
Downloads 75 (341,823)

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Cairns-Blake-Dowd model, Lee-Carter model, Pension Funds

14.

A Theoretical Framework for Trading Experiments

Number of pages: 12 Posted: 17 Feb 2013
Maxence Soumare, Jorgen Vitting Andersen, Francis Bouchard, Alain Elkaim, Dominique Guegan, Justin Leroux, Michel Miniconi and Lars Stentoft
Université de Nice Sophia Antipolis - Laboratoire Jean-Alexandre Dieudonné, CES, Université Paris 1 Panthéon-Sorbonne, HEC Montreal, HEC Montreal, Université Paris I Panthéon-Sorbonne, HEC Montreal - Institute of Applied Economics, Laboratoire Jean-Alexandre Dieudonné and Department of Economics, University of Western Ontario
Downloads 54 (404,352)

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decision making, game theory, complex systems theory, technical analysis, rational expectations

15.

The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options

CIRANO - Scientific Publications 2012s-05
Number of pages: 41 Posted: 21 Apr 2012
J. V. K. Rombouts, Lars Stentoft and Francesco Violante
HEC Montreal, Department of Economics, University of Western Ontario and Maastricht University - Department of Economics
Downloads 39 (461,550)
Citation 1

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option pricing, economic loss, forecasting, multivariate GARCH, model confidence set

16.

Efficient Numerical Pricing of American Call Options Using Symmetry Arguments

Number of pages: 66 Posted: 30 Apr 2019
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 26 (525,403)
Citation 2

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American Options, Least-Squares Monte Carlo, Put-Call Symmetry, Regression, Simulation

17.

Simulated Greeks for American Options

Number of pages: 30 Posted: 06 Jan 2020
Pascal Letourneau and Lars Stentoft
University of Wisconsin - Whitewater and Department of Economics, University of Western Ontario
Downloads 25 (531,268)

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Hedging, Least Squares Monte Carlo method, Price sensitivities

18.

Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method

Number of pages: 34 Posted: 01 Jan 2020
Lars Stentoft and Pascal Letourneau
Department of Economics, University of Western Ontario and University of Wisconsin - Whitewater
Downloads 14 (600,749)

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American Options, Least-Squares Monte Carlo, Exercise Boundary, Simulation

19.

Stationary Threshold Vector Autoregressive Models

Number of pages: 42 Posted: 18 Aug 2018
Galyna Grynkiv and Lars Stentoft
University of Western Ontario and Department of Economics, University of Western Ontario
Downloads 11 (621,183)

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Asset Price Bubbles, Explosive Regimes, Multivariate Nonlinear Time Series, Steady State Distributions, TVAR Models

20.

Yes We Can (Price Derivatives on Survivor Indices)

Risk Management and Insurance Review, Vol. 20, Issue 1, pp. 37-62, 2017
Number of pages: 26 Posted: 22 Mar 2017
M. Martin Boyer and Lars Stentoft
HEC Montreal - Department of Finance and Department of Economics, University of Western Ontario
Downloads 1 (700,660)
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21.

Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan

Risk Management and Insurance Review, Vol. 17, Issue 1, pp. 37-59, 2014
Number of pages: 23 Posted: 04 Mar 2014
M. Martin Boyer, Joanna Mejza and Lars Stentoft
HEC Montreal - Department of Finance, HEC Montreal and Department of Economics, University of Western Ontario
Downloads 1 (700,660)
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22.

What We Can Learn from Pricing 139,879 Individual Stock Options

https://doi.org/10.3905/jod.2015.22.4.054
Posted: 20 May 2019
Lars Stentoft
Department of Economics, University of Western Ontario
Downloads 0 (719,019)

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American options, GARCH models, Model Confidence Set, Simulation