Lars Stentoft : Citation Profile


Are you Lars Stentoft?

University of Western Ontario (34% share)
Aarhus Universitet (33% share)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (33% share)

7

H index

5

i10 index

132

Citations

RESEARCH PRODUCTION:

14

Articles

25

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 10
   Journals where Lars Stentoft has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 22 (14.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst129
   Updated: 2017-08-05    RAS profile: 2017-03-31    
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Relations with other researchers


Works with:

Violante, Francesco (4)

Leroux, Justin (3)

Boyer, M. Martin (3)

GUEGAN, Dominique (2)

Rombouts, Jeroen (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lars Stentoft.

Is cited by:

Christoffersen, Peter (10)

Vaello-Sebastià, Antoni (7)

Feunou, Bruno (4)

cerrato, mario (4)

Sévi, Benoît (4)

Laurent, Sébastien (3)

Hafner, Christian (3)

Gamba, Andrea (3)

Diebold, Francis (3)

Bollerslev, Tim (3)

Andersen, Torben (3)

Cites to:

Bollerslev, Tim (28)

Christoffersen, Peter (22)

Rombouts, Jeroen (13)

Engle, Robert (12)

Feunou, Bruno (8)

Chen, Zhiwu (8)

Monfort, Alain (8)

Cao, Charles (8)

Lunde, Asger (6)

gourieroux, christian (6)

GUEGAN, Dominique (4)

Main data


Where Lars Stentoft has published?


Journals with more than one article published# docs
International Journal of Forecasting2
Journal of Empirical Finance2

Recent works citing Lars Stentoft (2017 and 2016)


YearTitle of citing document
2016Kriging Metamodels and Experimental Design for Bermudan Option Pricing. (2016). Ludkovski, Michael . In: Papers. RePEc:arx:papers:1509.02179.

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2017Option Pricing in Markets with Unknown Stochastic Dynamics. (2017). Nizami, Elpida ; Gottschalk, Hanno . In: Papers. RePEc:arx:papers:1602.04848.

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2016Securities Lending Strategies, Valuation of Term Loans using Option Theory. (2016). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1609.01274.

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2016Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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2016Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions. (2016). Jin, Xing ; Yang, Cheng-Yu . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:65-77.

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2016A note on the Wang transform for stochastic volatility pricing models. (2016). Badescu, Alexandru ; Ortega, Juan-Pablo ; Cui, Zhenyu . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:189-196.

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2016Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach. (2016). Floryszczak, Anthony ; Majri, Mohamed ; le Courtois, Olivier . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:15-26.

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2017Sustainability of participation in collective pension schemes: An option pricing approach. (2017). , Damiaan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:182-196.

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2016Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:1-13.

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2017Mathematical Analysis of Replication by Cash Flow Matching. (2017). Natolski, Jan ; Werner, Ralf . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:13-:d:91771.

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2016Reference Policies for Non-myopic Sequential Network Design and Timing Problems. (2016). Sayarshad, Hamid R. In: Networks and Spatial Economics. RePEc:kap:netspa:v:16:y:2016:i:4:d:10.1007_s11067-015-9315-5.

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2017GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander . In: Economics Working Paper Series. RePEc:usg:econwp:2017:02.

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Works by Lars Stentoft:


YearTitleTypeCited
2008Option Pricing using Realized Volatility In: CREATES Research Papers.
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paper23
2008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution In: CREATES Research Papers.
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paper14
2008American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution.(2008) In: Journal of Financial Econometrics.
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article
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models In: CREATES Research Papers.
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paper4
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 4
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2009Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: CORE Discussion Papers.
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paper
2014Bayesian option pricing using mixed normal heteroskedasticity models.(2014) In: Computational Statistics & Data Analysis.
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article
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche.
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2010Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers.
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paper8
2010Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 8
paper
2010Multivariate option pricing with time varying volatility and correlations.(2010) In: CORE Discussion Papers.
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paper
2011Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 8
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2010Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 8
paper
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers.
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paper4
2015Option pricing with asymmetric heteroskedastic normal mixture models.(2015) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 4
article
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 4
paper
2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: CORE Discussion Papers.
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2011American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison In: CREATES Research Papers.
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paper2
2011American option pricing with discrete and continuous time models: An empirical comparison.(2011) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 2
article
2011What we can learn from pricing 139,879 Individual Stock Options In: CREATES Research Papers.
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paper1
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
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paper1
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 1
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2012The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options.(2012) In: CORE Discussion Papers.
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2014The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options.(2014) In: International Journal of Forecasting.
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2015Which pricing approach for options under GARCH with non-normal innovations? In: CREATES Research Papers.
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paper1
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability In: CREATES Research Papers.
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2013A theoretical framework for trading experiments In: Papers.
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2012A theoretical framework for trading experiments.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012A theoretical framework for trading experiments.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan In: Risk Management and Insurance Review.
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article0
2011Measuring Longevity Risk for a Canadian Pension Fund In: CIRANO Working Papers.
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2012If we can simulate it, we can insure it: An application to longevity risk management In: CIRANO Working Papers.
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2013If we can simulate it, we can insure it: An application to longevity risk management.(2013) In: Insurance: Mathematics and Economics.
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article
2004SEASONALITY IN ECONOMIC MODELS In: Macroeconomic Dynamics.
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article9
2005Pricing American options when the underlying asset follows GARCH processes In: Journal of Empirical Finance.
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article13
2013American option pricing using simulation with an application to the GARCH model In: Chapters.
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2004Convergence of the Least Squares Monte Carlo Approach to American Option Valuation In: Management Science.
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article22
2004Assessing the Least Squares Monte-Carlo Approach to American Option Valuation In: Review of Derivatives Research.
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article24
2015Les modèles factoriels et la gestion du risque de longévité In: L'Actualité Economique.
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2014Refining the least squares Monte Carlo method by imposing structure In: Quantitative Finance.
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