Lars Stentoft : Citation Profile

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

8

H index

8

i10 index

309

Citations

RESEARCH PRODUCTION:

37

Articles

28

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 14
   Journals where Lars Stentoft has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 34 (9.91 %)

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   Permalink: http://citec.repec.org/pst129
   Updated: 2025-12-27    RAS profile: 2025-10-09    
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Relations with other researchers

Works with:

Escobar Anel, Marcos (7)

Violante, Francesco (3)

Liu, Fred (2)

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

Is cited by:

Vaello-Sebastià, Antoni (12)

CARMONA, JULIO (8)

cerrato, mario (6)

Feunou, Bruno (5)

Sévi, Benoît (4)

Laurent, Sébastien (4)

Fabozzi, Frank (4)

Bollerslev, Tim (4)

Li, Minqiang (4)

Escobar Anel, Marcos (4)

Hafner, Christian (4)

Cites to:

Bollerslev, Tim (65)

Rombouts, Jeroen (25)

Engle, Robert (23)

Wu, Liuren (21)

Cao, Charles (20)

Chen, Zhiwu (20)

Longstaff, Francis (16)

Andersen, Torben (16)

Bauwens, Luc (15)

Feunou, Bruno (13)

Diebold, Francis (11)

Main data

Where Lars Stentoft has published?

Journals with more than one article published# docs
JRFM6
Finance Research Letters3
Journal of Banking & Finance3
Journal of Financial Econometrics3
Risk Management and Insurance Review2
International Journal of Forecasting2
Journal of Empirical Finance2
Econometrics and Statistics2
Quantitative Finance2

Recent works citing Lars Stentoft (2025 and 2024)

YearTitle of citing document
2024Polynomial time algorithm for optimal stopping with fixed accuracy. (2024). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2025). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166.

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2024Pricing American Options using Machine Learning Algorithms. (2024). Djagba, Prudence ; Ndizihiwe, Callixte. In: Papers. RePEc:arx:papers:2409.03204.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2025Pricing time-capped American options using Least Squares Monte Carlo method. (2025). Palmowski, Zbigniew ; Stcepniak, Pawel. In: Papers. RePEc:arx:papers:2503.01040.

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2025Deep Hedging with Options Using the Implied Volatility Surface. (2025). Fr'ed'eric Godin, ; Gauthier, Genevieve ; Franccois, Pascal. In: Papers. RePEc:arx:papers:2504.06208.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2024A gradient method for high-dimensional BSDEs. (2024). Pelsser, Antoon ; Gnameho, Kossi ; Mitja, Stadje. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:30:y:2024:i:2:p:183-203:n:1005.

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2025Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications. (2025). Escobar Anel, Marcos ; Yang, Yu-Jung ; Escobar-Anel, Marcos ; Zagst, Rudi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000166.

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2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2025A multi-objective decision-making framework for the choice between mutually exclusive alternatives under uncertainty: Assessing the competitiveness of offshore wind for a gas field electrification on the NCS. (2025). Hagspiel, Verena ; Noshchenko, Olga ; Aghajani, Daniel ; Bratvold, Reidar B. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007412.

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2024Mean–variance optimization under affine GARCH: A utility-based solution. (2024). Escobar Anel, Marcos ; Zagst, Rudi ; Escobar-Anel, Marcos ; Spies, Ben. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011212.

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2024Longevity 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.

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2024Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis. (2024). Asiri, Maram S ; Hasan, Fakhrul ; Aljohani, Bader M ; Fadul, Abubaker ; Alkhathami, Abdulrahman D. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s027553192400206x.

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2024A Hybrid Forecasting System Based on Comprehensive Feature Selection and Intelligent Optimization for Stock Price Index Forecasting. (2024). Wang, Jujie ; He, Xuecheng. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:23:p:3778-:d:1533310.

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2024Option Valuation with Conditional Heteroskedastic Hidden Truncation Models. (2024). Belhachemi, Rachid. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10480-6.

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2024Deep Learning and American Options via Free Boundary Framework. (2024). Dai, Weizhong ; Ware, Tony ; Umeorah, Nneka ; Nwankwo, Chinonso. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:2:d:10.1007_s10614-023-10459-3.

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2024Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study. (2024). Hossain, Amjad ; Lalon, Raad ; Abedin, Mohammad Zoynul ; Mozumder, Sharif. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10545-6.

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2025Minimum capital requirement portfolios according to the new Basel framework for market risk. (2025). Avellone, Alessandro ; Foroni, Ilaria ; Pederzoli, Chiara. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-024-00454-5.

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2025Swing option-implied volatility. (2025). Auer, Benjamin R ; Mhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09214-7.

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2024Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing. (2024). Mozumder, Sharif ; Kabir, Humayun M ; Li, Bingxin ; Talukdar, Bakhtear. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:1:d:10.1007_s11156-023-01195-8.

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2024Predicting the volatility of Chinese stock indices based on realized recurrent conditional heteroskedasticity. (2024). Zhao, Huanyu ; Zhang, Gongtao ; Fan, Rujie. In: PLOS ONE. RePEc:plo:pone00:0308967.

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2024Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456.

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2025Volatility forecasting: a new GARCH-type model for fuzzy sets-valued time series. (2025). Dai, Xingyu ; Cerqueti, Roy ; Wang, Qunwei ; Xiao, Ling. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05746-z.

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2024Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm. (2024). Djeng, S K ; Law, M ; Leung, F. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00631-5.

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2024Pricing multi-asset options with tempered stable distributions. (2024). Xia, Yunfei ; Grabchak, Michael. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00649-9.

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2025Bayesian learning in dynamic portfolio selection under a minimax rule. (2025). Yu, Gen ; Cai, Xiaoqiang. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00786-8.

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2024Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options. (2024). Woo, Jeechul ; Choi, Jaehyuk ; Liu, Chenru. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1404-1428.

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Works by Lars Stentoft:

YearTitleTypeCited
2023Unawareness Premia In: Economics Working Papers.
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2008Option Pricing using Realized Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
2008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution In: CREATES Research Papers.
[Full Text][Citation analysis]		paper25
2008American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution.(2008) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 25		article
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers.
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2009Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 10		paper
2014Bayesian option pricing using mixed normal heteroskedasticity models.(2014) In: Computational Statistics & Data Analysis.
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2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 10		paper
2010Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2010Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 16		paper
2010Multivariate option pricing with time varying volatility and correlations.(2010) In: LIDAM Discussion Papers CORE.
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2011Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance.
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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 nother version. Agregated cites: 16		paper
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 8		paper
2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: LIDAM Discussion Papers CORE.
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2015Option pricing with asymmetric heteroskedastic normal mixture models.(2015) In: International Journal of Forecasting.
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2011American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
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 nother version. Agregated cites: 8		article
2011What we can learn from pricing 139,879 Individual Stock Options In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
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 nother version. Agregated cites: 6		paper
2012The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options.(2012) In: LIDAM Discussion Papers CORE.
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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.
[Full Text][Citation analysis]		paper3
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Variance swap payoffs, risk premia and extreme market conditions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2020Variance swap payoffs, risk premia and extreme market conditions.(2020) In: Econometrics and Statistics.
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2013A theoretical framework for trading experiments In: Papers.
[Full Text][Citation analysis]		paper0
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: Post-Print.
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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.
[Full Text][Citation analysis]		article0
2017Yes We Can (Price Derivatives on Survivor Indices) In: Risk Management and Insurance Review.
[Full Text][Citation analysis]		article0
2011Measuring Longevity Risk for a Canadian Pension Fund In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper0
2012If we can simulate it, we can insure it: An application to longevity risk management In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper10
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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2020Dynamics of variance risk premia: A new model for disentangling the price of risk In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2025The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
2021Option pricing with conditional GARCH models In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
2005Pricing American options when the underlying asset follows GARCH processes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article16
2023Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2024A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2024Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2025The shifted GARCH model with affine variance: Applications in pricing In: Finance Research Letters.
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2025Analytical fixed income pricing in discrete time: A new family of models In: Global Finance Journal.
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2020Pricing individual stock options using both stock and market index information In: Journal of Banking & Finance.
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2020Affine multivariate GARCH models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2013American option pricing using simulation with an application to the GARCH model In: Chapters.
[Full Text][Citation analysis]		chapter0
2018Stationary Threshold Vector Autoregressive Models In: JRFM.
[Full Text][Citation analysis]		article3
2019Efficient Numerical Pricing of American Call Options Using Symmetry Arguments In: JRFM.
[Full Text][Citation analysis]		article2
2019Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method In: JRFM.
[Full Text][Citation analysis]		article2
2020Computational Finance In: JRFM.
[Full Text][Citation analysis]		article0
2021Efficient Variance Reduction for American Call Options Using Symmetry Arguments In: JRFM.
[Full Text][Citation analysis]		article0
2021American Option Pricing with Importance Sampling and Shifted Regressions In: JRFM.
[Full Text][Citation analysis]		article1
2004Convergence of the Least Squares Monte Carlo Approach to American Option Valuation In: Management Science.
[Full Text][Citation analysis]		article68
2025Bias Correction in the Least-Squares Monte Carlo Algorithm In: Computational Economics.
[Full Text][Citation analysis]		article0
2004Assessing the Least Squares Monte-Carlo Approach to American Option Valuation In: Review of Derivatives Research.
[Full Text][Citation analysis]		article68
2021Regulatory Capital and Incentives for Risk Model Choice under Basel 3* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article4
2023Intraday Market Predictability: A Machine Learning Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2015Les modèles factoriels et la gestion du risque de longévité In: L'Actualité Economique.
[Full Text][Citation analysis]		article0
Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression In: Journal of Computational Finance.
[Full Text][Citation analysis]		article0
2014Refining the least squares Monte Carlo method by imposing structure In: Quantitative Finance.
[Full Text][Citation analysis]		article7
2023Simulated Greeks for American options In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2021Smile‐implied hedging with volatility risk In: Journal of Futures Markets.
[Full Text][Citation analysis]		article1

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