2

Assessing the Least Squares Monte-Carlo Approach to American Option Valuation

Lars Stentoft
Journal:
Review of Derivatives Research
Year:
2004
Language:
english
File:
PDF, 636 KB
english, 2004
4

Computational Finance

Stentoft, Lars
Journal:
Journal of Risk and Financial Management
Year:
2020
File:
PDF, 180 KB
2020
6

What We Can Learn from Pricing 139,879 Individual Stock Options

Stentoft, Lars
Journal:
The Journal of Derivatives
Year:
2015
Language:
english
File:
PDF, 2.67 MB
english, 2015
7

American option pricing with discrete and continuous time models: An empirical comparison

Lars Stentoft
Journal:
Journal of Empirical Finance
Year:
2011
Language:
english
File:
PDF, 1.37 MB
english, 2011
9

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

Stentoft, Lars
Journal:
Management Science
Year:
2004
Language:
english
File:
PDF, 241 KB
english, 2004
10

Refining the least squares Monte Carlo method by imposing structure

Létourneau, Pascal, Stentoft, Lars
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 1.49 MB
english, 2014
11

Pricing American options when the underlying asset follows GARCH processes

Lars Stentoft
Journal:
Journal of Empirical Finance
Year:
2005
Language:
english
File:
PDF, 332 KB
english, 2005
12

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

Stentoft, Lars
Journal:
SSRN Electronic Journal
Year:
2011
Language:
english
File:
PDF, 451 KB
english, 2011
13

Efficient Numerical Pricing of American Call Options Using Symmetry Arguments

Stentoft, Lars
Journal:
Journal of Risk and Financial Management
Year:
2019
Language:
english
File:
PDF, 609 KB
english, 2019
14

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

Lars Stentoft
Journal:
Management Science
Year:
2004
Language:
english
File:
PDF, 1.66 MB
english, 2004
17

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

Stentoft, Lars
Journal:
SSRN Electronic Journal
Year:
2007
Language:
english
File:
PDF, 709 KB
english, 2007
20

Stationary Threshold Vector Autoregressive Models

Grynkiv, Galyna, Stentoft, Lars
Journal:
Journal of Risk and Financial Management
Year:
2018
Language:
english
File:
PDF, 4.87 MB
english, 2018
22

Multivariate option pricing with time varying volatility and correlations

Jeroen V.K. Rombouts, Lars Stentoft
Journal:
Journal of Banking & Finance
Year:
2011
Language:
english
File:
PDF, 843 KB
english, 2011
24

Yes We Can (Price Derivatives on Survivor Indices)

Boyer, M. Martin, Stentoft, Lars
Journal:
Risk Management and Insurance Review
Year:
2017
Language:
english
File:
PDF, 299 KB
english, 2017
27

Refining the Least Squares Monte Carlo Method by Imposing Structure

Letourneau, Pascal, Stentoft, Lars
Journal:
SSRN Electronic Journal
Year:
2012
Language:
english
File:
PDF, 554 KB
english, 2012
29

Multivariate Option Pricing with Time Varying Volatility and Correlations

Rombouts, J. V. K., Stentoft, Lars
Journal:
SSRN Electronic Journal
Year:
2010
Language:
english
File:
PDF, 540 KB
english, 2010
33

SEASONALITY IN ECONOMIC MODELS

BRENDSTRUP, BJARNE, HYLLEBERG, SVEND, NIELSEN, MORTEN RREGAARD, SKIPPER, LARS, STENTOFT, LARS
Journal:
Macroeconomic Dynamics
Year:
2004
Language:
english
File:
PDF, 215 KB
english, 2004
34

Seasonality in Economic Models

Brendstrup, Bjarne, Hylleberg, Svend, Nielsen, Morten Ørregaard, Skipper, Lars, Stentoft, Lars
Journal:
SSRN Electronic Journal
Year:
2001
Language:
english
File:
PDF, 641 KB
english, 2001