Lars Stentoft

Contact Information

Lars Stentoft
Associate Professor
HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Tel: 514 340-6671
Fax: 514 340-5632

Click here for my official homepage.
Click here for my personal homepage.
Click here for my SSRN page.

Affiliations

HEC Montréal
Service de l'enseignement de la finance / Finance Department
Centre de recherche en e-finance (CREF)
Centre Interuniversitaire de Recherche en ANalyse des Organisations (CIRANO)
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l’Emploi (CIRPÉE)
Center for Research in Econometrics Analysis of TimE Series (CREATES)
Centre for Analytical Finance (CAF)
Danish Center for Accounting and Finance (D-CAF)

Research

Publications

Stentoft, L. (2011?), ‘American Option Pricing using Simulation and Regression: Numerical Convergence Results’, forthcoming in Topics in Numerical Methods for Finance (working paper version available here).

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), 362-394.
 

Working Papers

Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models (submitted, 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)

The Empirical Robustness of the GARCH Option Pricing Model

Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression (revise and resubmit at Journal of Computational Finance, downloadable from my SSRN homepage)
 

Teaching

Investment (BAA)
Négociation en salle des marchés (BAA)
Trading in Financial Markets (BAA)
Trading in Financial Markets (MBA)
Analysis of Fixed-Income Securities (MBA)
Numerical Methods in Finance (PhD)