Denault, M., J.-G. Simonato & L. Stentoft. (2013?), 'A Simulation-and-Regression Approach for Stochastic Dynamic Programs with Endogenous State Variable', forthcoming in Computers & Operations Research, (working paper available here).
Létourneau, P. & L. Stentoft. (2013?), 'Refining the Least Squares Monte Carlo Method by Imposing Structure', forthcoming in Quantitative Finance, (working paper version available here).
Rombouts, J., L. Stentoft & F. Violante. (2013?), 'The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options', forthcoming in International Journal of Forecasting, (working paper version available here).
Boyer, M.M., J. Mejza & L. Stentoft. (2013?), ‘Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Plan’, forthcoming in Risk Management & Insurance Review, (working paper version available here).
Stentoft, L. (2013?), ‘Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression’, forthcoming in Journal of Computational Finance (working paper version available here).
Boyer, M.M. and L. Stentoft. (2013), ‘If we can simulate it, we can insure it: An application to longevity risk management’, Insurance: Mathematics and Economics 52 (1), 35-45.
Stentoft, L. (2013), ‘American Option Pricing using Simulation with Application to the GARCH Model’, in Handbook of Research Methods and Applications in Empirical Finance, Edited by Adrian R. Bell, Chris Brooks and Marcel Prokopczuk.
Stentoft, L. (2012), ‘American Option Pricing using Simulation and Regression: Numerical Convergence Results’, in Topics in Numerical Methods for Finance, Springer Proceedings in Mathematics & Statistics 19, Edited by M. Cummins, F. Murphy and J.J.H. Miller, 57-94
Boyer, M.M., A. Favaro and L. Stentoft. (2012), ‘Pricing Survivor Forwards and Swaps in Incomplete Markets Using Simulation Techniques’, Longevity Risk Management for Institutional Investors, Fall 2012, 69-87.
Stentoft, L. (2011), ‘American Option Pricing with Discrete and Continuous Time Models: an Empirical Comparison’, Journal of Empirical Finance 18 (5), 880-902.
Rombouts, J. and L. Stentoft, L. (2011), ‘Multivariate Option Pricing with Time Varying Volatility and Correlations’, Journal of Banking and Finance 35, 2267-2281.
Stentoft, L. (2008), ‘American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution’, Journal of Financial Econometrics 6 (4), 540-582.
Stentoft, L. (2005), ‘Pricing American Options when the Underlying Asset follows GARCH processes’, Journal of Empirical Finance 12 (4), 576-611.
Stentoft, L. (2004), ‘Convergence of the Least Squares Monte Carlo Approach to American Option Valuation’, Management Science 50 (9), 1193-1203.
Stentoft, L. (2004), ‘Assessing the Least Squares Monte-Carlo Approach to American Option Valuation’, Review of Derivatives Research 7 (3), 129-168.
B. Brendstrup, S. Hylleberg, M. Nielsen, L. Skipper and L. Stentoft.
(2004), ‘Seasonality in Economic Models’, Macroeconomic Dynamics 8 (3),
Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models (revise and resubmit at Computational Statistics & Data Analysis, joint work with Jeroen Rombouts, downloadable from my SSRN homepage)
Option Pricing Using Realized Volatility (downloadable from my SSRN homepage)
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models (revise and resubmit at Journal of Financial Econometrics, joint work with Jeroen Rombouts, downloadable from my SSRN homepage)
A Theoretical Framework for Trading Experiments (joint work with Maxence Soumare, Jørgen Vitting Andersen, Francis Bouchard, Alain Elkaim, Dominique Guegan, Justin Leroux and Michel Miniconi, working paper avaiable here)
What We Can Learn From Pricing 139,879 Individual Stock Options (submitted, downloadable from my SSRN homepage)
|Last updated: April 24, 2013|