User profiles for Lars Stentoft
Lars StentoftAssociate Professor, Department of Economics, University of Western Ontario Verified email at uwo.ca Cited by 1183 |
Convergence of the least squares Monte Carlo approach to American option valuation
L Stentoft - Management Science, 2004 - pubsonline.informs.org
In a recent paper, Longstaff and Schwartz (2001) suggest a method to American option
valuation based on simulation. The method is termed the Least Squares Monte Carlo (LSM) …
valuation based on simulation. The method is termed the Least Squares Monte Carlo (LSM) …
Assessing the least squares Monte-Carlo approach to American option valuation
L Stentoft - Review of Derivatives research, 2004 - Springer
A detailed analysis of the Least Squares Monte-Carlo (LSM) approach to American option
valuation suggested in Longstaff and Schwartz (2001) is performed. We compare the …
valuation suggested in Longstaff and Schwartz (2001) is performed. We compare the …
American option pricing using GARCH models and the normal inverse Gaussian distribution
L Stentoft - Journal of Financial Econometrics, 2008 - academic.oup.com
In this paper we propose a feasible way to price American options in a model with time-varying
volatility and conditional skewness and leptokurtosis, using GARCH processes and the …
volatility and conditional skewness and leptokurtosis, using GARCH processes and the …
Pricing American options when the underlying asset follows GARCH processes
L Stentoft - Journal of Empirical Finance, 2005 - Elsevier
As extensions to the Black–Scholes model with constant volatility, option pricing models
with time-varying volatility have been suggested within the framework of generalized …
with time-varying volatility have been suggested within the framework of generalized …
If we can simulate it, we can insure it: An application to longevity risk management
MM Boyer, L Stentoft - Insurance: Mathematics and Economics, 2013 - Elsevier
This paper proposes a unified framework for measuring and managing longevity risk.
Specifically, we develop a flexible framework for valuing survivor derivatives like forwards, and …
Specifically, we develop a flexible framework for valuing survivor derivatives like forwards, and …
Option pricing with conditional GARCH models
M Escobar-Anel, J Rastegari, L Stentoft - European Journal of Operational …, 2021 - Elsevier
This paper introduces a class of conditional GARCH models that offers significantly added
flexibility to accommodate empirically relevant features of financial asset returns while …
flexibility to accommodate empirically relevant features of financial asset returns while …
Value function approximation or stopping time approximation: A comparison of two recent numerical methods for American option pricing using simulation and …
L Stentoft - Journal of Computational Finance, 2014 - papers.ssrn.com
In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing
using simulation and regression, and since then this method has rapidly gained importance…
using simulation and regression, and since then this method has rapidly gained importance…
Seasonality in economic models
…, MØ Nielsen, L Skipper, L Stentoft - Macroeconomic …, 2004 - cambridge.org
Seasonality has been a major research area in economics for several decades. The paper
assesses the recent development in the literature on the treatment of seasonality in …
assesses the recent development in the literature on the treatment of seasonality in …
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
M Denault, JG Simonato, L Stentoft - Computers & Operations Research, 2013 - Elsevier
We investigate the optimum control of a stochastic system, in the presence of both
exogenous (control-independent) stochastic state variables and endogenous (control-dependent) …
exogenous (control-independent) stochastic state variables and endogenous (control-dependent) …
Multivariate option pricing with time varying volatility and correlations
JVK Rombouts, L Stentoft - Journal of Banking & Finance, 2011 - Elsevier
In this paper we consider option pricing using multivariate models for asset returns. Specifically,
we demonstrate the existence of an equivalent martingale measure, we characterize the …
we demonstrate the existence of an equivalent martingale measure, we characterize the …