8
H index
8
i10 index
293
Citations
Lars Stentoft : Citation Profile
University of Western Ontario (34% share) | RESEARCH PRODUCTION: 34 Articles 28 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (2004 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Lars Stentoft. | Is cited by:
| Cites to:
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Main data
Where Lars Stentoft has published?
| Journals with more than one article published | # docs |
|---|---|
| JRFM | 6 |
| Journal of Banking & Finance | 3 |
| Journal of Financial Econometrics | 3 |
| Finance Research Letters | 3 |
| Quantitative Finance | 2 |
| Journal of Empirical Finance | 2 |
| International Journal of Forecasting | 2 |
| Risk Management and Insurance Review | 2 |
Recent works citing Lars Stentoft (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227. Full description at Econpapers || Download paper |
| 2025 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
| 2025 | Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166. Full description at Econpapers || Download paper |
| 2024 | A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194. Full description at Econpapers || Download paper |
| 2024 | Mean–variance optimization under affine GARCH: A utility-based solution. (2024). Escobar Anel, Marcos ; Spies, Ben ; Escobar-Anel, Marcos ; Zagst, Rudi. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011212. Full description at Econpapers || Download paper |
| 2024 | Longevity hedge effectiveness using socioeconomic indices. (2024). Laursen, Nicolai Sogaard ; Kallestrup-Lamb, Malene. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:242-251. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study. (2024). Lalon, Raad ; Abedin, Mohammad Zoynul ; Mozumder, Sharif ; Hossain, Amjad. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10545-6. Full description at Econpapers || Download paper |
| 2024 | Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456. Full description at Econpapers || Download paper |
Works by Lars Stentoft:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2023 | Unawareness Premia In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Option Pricing using Realized Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 2008 | American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
| 2008 | American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2009 | Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2014 | Bayesian option pricing using mixed normal heteroskedasticity models.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
| 2010 | Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2010 | Multivariate option pricing with time varying volatility and correlations.(2010) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2011 | Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2010 | Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2010 | Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2010 | Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2015 | Option pricing with asymmetric heteroskedastic normal mixture models.(2015) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2011 | American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2011 | American option pricing with discrete and continuous time models: An empirical comparison.(2011) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2011 | What we can learn from pricing 139,879 Individual Stock Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2012 | The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options.(2012) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2014 | The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Which pricing approach for options under GARCH with non-normal innovations? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Variance swap payoffs, risk premia and extreme market conditions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Variance swap payoffs, risk premia and extreme market conditions.(2020) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2013 | A theoretical framework for trading experiments In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | A theoretical framework for trading experiments.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | A theoretical framework for trading experiments.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | A theoretical framework for trading experiments.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan In: Risk Management and Insurance Review. [Full Text][Citation analysis] | article | 0 |
| 2017 | Yes We Can (Price Derivatives on Survivor Indices) In: Risk Management and Insurance Review. [Full Text][Citation analysis] | article | 0 |
| 2011 | Measuring Longevity Risk for a Canadian Pension Fund In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | If we can simulate it, we can insure it: An application to longevity risk management In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2013 | If we can simulate it, we can insure it: An application to longevity risk management.(2013) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2020 | Dynamics of variance risk premia: A new model for disentangling the price of risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2021 | Option pricing with conditional GARCH models In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
| 2005 | Pricing American options when the underlying asset follows GARCH processes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 16 |
| 2023 | Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2024 | A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2024 | Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2025 | The shifted GARCH model with affine variance: Applications in pricing In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | Pricing individual stock options using both stock and market index information In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Affine multivariate GARCH models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
| 2013 | American option pricing using simulation with an application to the GARCH model In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2018 | Stationary Threshold Vector Autoregressive Models In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2019 | Efficient Numerical Pricing of American Call Options Using Symmetry Arguments In: JRFM. [Full Text][Citation analysis] | article | 2 |
| 2019 | Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method In: JRFM. [Full Text][Citation analysis] | article | 2 |
| 2020 | Computational Finance In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2021 | Efficient Variance Reduction for American Call Options Using Symmetry Arguments In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2021 | American Option Pricing with Importance Sampling and Shifted Regressions In: JRFM. [Full Text][Citation analysis] | article | 1 |
| 2004 | Convergence of the Least Squares Monte Carlo Approach to American Option Valuation In: Management Science. [Full Text][Citation analysis] | article | 64 |
| 2004 | Assessing the Least Squares Monte-Carlo Approach to American Option Valuation In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 64 |
| 2021 | Regulatory Capital and Incentives for Risk Model Choice under Basel 3* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2023 | Intraday Market Predictability: A Machine Learning Approach In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Les modèles factoriels et la gestion du risque de longévité In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2014 | Refining the least squares Monte Carlo method by imposing structure In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 2023 | Simulated Greeks for American options In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Smile‐implied hedging with volatility risk In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team