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

31

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61

CROSSREF CITATIONS

54

Scholarly Papers (31)

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1.

Intraday Market Predictability: A Machine Learning Approach

Number of pages: 56 Posted: 13 Jan 2021 Last Revised: 10 Mar 2021
Dillon Huddleston, Fred Liu and Lars Stentoft
University of Western Ontario - Department of Economics, University of Guelph and Department of Economics, University of Western Ontario
Downloads 1,520 (20,795)
Citation 4

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Machine Learning, Return Prediction, High-Frequency, Equity Market, Big Data, Lasso, Elastic Net, Random Forest, Gradient Boosting, Deep Neural Networks, Fintech

2.

Intraday Stock Predictability Everywhere

Number of pages: 61 Posted: 05 Jul 2023
Fred Liu and Lars Stentoft
University of Guelph and Department of Economics, University of Western Ontario
Downloads 1,285 (26,723)

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Machine Learning, Intraday Return Prediction, High-Frequency, Equity Market, Big Data, Lasso, Elastic Net, Random Forest, Gradient Boosting, Neural Networks, Deep Learning, Fintech

3.

Option Pricing Using Realized Volatility

Downloads 933 (42,215)
Citation 18

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 639 (69,141)
Citation 24

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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 294 (171,639)
Citation 26

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Option Pricing, Realized Volatility, Stochastic Volatility, GARCH

4.

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

Downloads 772 (54,659)
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 572 (79,457)
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 200 (250,887)
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

5.

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

Downloads 439 (110,915)
Citation 10

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 439 (109,783)
Citation 8

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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

6.

Simulated Greeks for American Options

Downloads 397 (124,670)

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 306 (164,496)

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Hedging, Least Squares Monte Carlo method, Price sensitivities

Simulated Greeks for American Options

Number of pages: 50 Posted: 19 Mar 2022
Lars Stentoft and Pascal Letourneau
Department of Economics, University of Western Ontario and University of Wisconsin - Whitewater
Downloads 91 (467,217)

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finance, Hedging, Least Squares Monte Carlo method, Price sensitivities

7.

Multivariate Option Pricing with Time Varying Volatility and Correlations

Downloads 331 (152,252)
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 138 (345,027)

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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 108 (415,148)
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 85 (487,914)
Citation 1

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Multivariate risk premia, Option pricing, GARCH models

8.

Seasonality in Economic Models

Downloads 307 (164,962)

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 and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics and Department of Economics, University of Western Ontario
Downloads 307 (163,914)
Citation 1

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Seasonality, Economic Modeling

Seasonality in Economic Models

Posted: 20 Jun 2004
Bjarne Brendstrup, Svend Hylleberg, Morten Ørregaard Nielsen, Lars Skipper and Lars Stentoft
Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics and Department of Economics, University of Western Ontario

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Seasonality, economic modelling

9.

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 298 (170,207)
Citation 2

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American options, bias reduction, constrained regression, simulation

10.

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 287 (177,100)
Citation 4

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

11.

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 246 (206,635)

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American options, convergence, Monte Carlo simulation, regression

12.

Smile-Implied Hedging with Volatility Risk

Number of pages: 37 Posted: 16 Oct 2020
Pascal Francois and Lars Stentoft
HEC Montreal - Department of Finance and Department of Economics, University of Western Ontario
Downloads 232 (218,777)
Citation 2

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Options, Hedging, Volatility smile, Stochastic implied volatility

13.

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 200 (251,332)
Citation 2

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

14.

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 164 (298,952)

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American options, GARCH models, simulation

15.

Regulatory Capital and Incentives for Risk Model Choice under Basel 3

Number of pages: 55 Posted: 12 Aug 2020
Fred Liu and Lars Stentoft
University of Guelph and Department of Economics, University of Western Ontario
Downloads 158 (308,410)
Citation 2

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Basel 3, Expected Shortfall Backtesting, Regulatory Capital Requirements

16.

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 127 (366,715)
Citation 4

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Least squares Monte Carlo, Longevity risk, Reinsurance, Simulation

17.

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 111 (404,765)

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

18.

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 111 (404,765)
Citation 6

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Asymmetric Heteroskedastic Models, Finite Mixture Models, Option Pricing

19.

Efficient Variance Reduction with Least-Squares Monte Carlo Pricing

Boire, F. M., Reesor, R. M., & Stentoft, L. (2021). Efficient Variance Reduction for American Call Options Using Symmetry Arguments. Journal of Risk and Financial Management, 14(11), 504.
Number of pages: 50 Posted: 08 Mar 2021 Last Revised: 25 Sep 2022
François-Michel Boire, R. Mark Reesor and Lars Stentoft
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 85 (483,254)

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American Options, Antithetic Sampling, Control Variates, Importance Sampling, Monte Carlo Simulation, Put-Call Symmetry

20.

Bias Correction in the Least-Squares Monte Carlo Algorithm

Number of pages: 59 Posted: 28 Sep 2022 Last Revised: 26 Apr 2023
François-Michel Boire, R. Mark Reesor and Lars Stentoft
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 80 (501,026)

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American Options, Least-Squares Monte Carlo, Foresight Bias, Sub-Optimality Bias

21.

Online Appendix for: Regulatory Capital and Incentives for Risk Model Choice under Basel 3

Number of pages: 19 Posted: 14 Aug 2020
Fred Liu and Lars Stentoft
University of Guelph and Department of Economics, University of Western Ontario
Downloads 74 (523,905)

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Basel 3, Expected Shortfall Back-testing, Regulatory Capital Requirements

22.

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 70 (540,221)

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

23.

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 65 (561,881)
Citation 1

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

24.

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 60 (584,570)
Citation 2

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

25.

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 54 (614,620)

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

26.

Monte Carlo Variance Reduction and American Option Exercise Strategies

Number of pages: 63 Posted: 28 Sep 2022
François-Michel Boire, R. Mark Reesor and Lars Stentoft
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 47 (652,932)

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American Options, Control Variates, Importance Sampling, Monte Carlo Simulation

27.

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 46 (658,731)

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

28.

Efficient Pricing of Large Panels of Options

Number of pages: 58 Posted: 03 May 2022
Pascal Letourneau and Lars Stentoft
University of Wisconsin - Whitewater and Department of Economics, University of Western Ontario
Downloads 44 (670,437)

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American options, Homogeneity, Least-Squares Monte Carlo, Regression, Simulation

29.

Covariance Dependent Kernels, a Q-Affine GARCH for multi-asset option pricing

Number of pages: 32 Posted: 18 Nov 2021
Javad Rastegari, Lars Stentoft and Marcos Escobar
Western University, Department of Economics, University of Western Ontario and Western University
Downloads 42 (682,873)

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Pricing, multi-asset options, GARCH models, Closed form solutions, Covariance dependent kernel, maximum likelihood estimation

30.

Lower Bounds for American Option Prices with Control Variates

Number of pages: 20 Posted: 15 Nov 2022 Last Revised: 20 Sep 2023
François-Michel Boire, R. Mark Reesor and Lars Stentoft
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 24 (814,678)

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American Options, Control Variates, Bias Correction, Monte Carlo Simulation

31.

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 (1,028,065)

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American options, GARCH models, Model Confidence Set, Simulation