Lars Stentoft

发表

Consistent and Efficient Dynamic Portfolio Replication with Many Factors

Lars Stentoft, Sha Wang, Lars Stentoft, 2019, The Journal of Portfolio Management.

Série Scientifique Scientific Series 2009 s19 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Lars Stentoft, Jeroen V. K. Rombouts, J. Rombouts, 2009 .

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

Lars Stentoft, Pascal Létourneau, Lars Stentoft, 2019, Journal of Risk and Financial Management.

Convergence of the Least Squares Monte Carlo Approach to American Option Valuation

Lars Stentoft, Lars Stentoft, 2004, Manag. Sci..

A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables

Lars Stentoft, Michel Denault, Jean-Guy Simonato, 2011, Comput. Oper. Res..

Option pricing with conditional GARCH models

Lars Stentoft, Marcos Escobar-Anel, Javad Rastegari, 2021, Eur. J. Oper. Res..

Efficient Variance Reduction for American Call Options Using Symmetry Arguments

Lars Stentoft, R. Mark Reesor, François-Michel Boire, 2021, Journal of Risk and Financial Management.

American Option Pricing with Importance Sampling and Shifted Regressions

Lars Stentoft, R. Mark Reesor, Francois-Michel Boire, 2021, Journal of Risk and Financial Management.

Which pricing approach for options under GARCH with non-normal innovations?

Lars Stentoft, Jean-Guy Simonato, Lars Stentoft, 2015 .

Multivariate Option Pricing with Time Varying Volatility and Correlations

Lars Stentoft, J. V. K. Rombouts, 2010 .

Pricing American options when the underlying asset follows GARCH processes

Lars Stentoft, Lars Stentoft, 2005 .

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

Lars Stentoft, Jeroen V.K. Rombouts, Francesco Violante, 2012 .

Refining the Least Squares Monte Carlo Method by Imposing Structure

Lars Stentoft, Pascal Letourneau, 2013 .

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

Lars Stentoft, Lars Stentoft, 2007 .

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

Lars Stentoft, Lars Stentoft, 2012 .

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

Lars Stentoft, Lars Stentoft, 2011 .

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

Lars Stentoft, Lars Stentoft, 2008 .

Improved Greeks for American Options using Simulation ∗

Lars Stentoft, Pascal Letourneau, Lars Stentoft, 2016 .