Department of Economics and Business Economics

Lars Stentoft

  1. 2020
  2. Published

    Pricing individual stock options using both stock and market index information. / Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco.

    In: Journal of Banking and Finance, Vol. 111, 105727, 02.2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Consistent and Efficient Dynamic Portfolio Replication with Many Factors. / Stentoft, Lars; Wang, Sha.

    In: The Journal of Portfolio Management, Vol. 46, No. 2, 2020, p. 79-91.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  4. Published

    Dynamics of variance risk premia : A new model for disentangling the price of risk. / Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco.

    In: Journal of Econometrics, Vol. 217, No. 2, 2020, p. 312-334.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. Published

    Variance swap payoffs, risk premia and extreme market conditions. / Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco.

    In: Econometrics and Statistics, Vol. 13, 2020, p. 106-124.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. 2019
  7. Published

    Efficient Numerical Pricing of American Call Options using Symmetry Arguments. / Stentoft, Lars.

    In: Journal of Risk and Financial Management, Vol. 12, No. 2, 2019, p. 59.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. 2018
  9. Published

    Stationary Threshold Vector Autoregressive Models. / Grynkiv, Galyna; Stentoft, Lars.

    In: Journal of Risk and Financial Management, Vol. 11, No. 3, 45, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. 2017
  11. Published

    Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability. / Rombouts, Jerome V.K.; Stentoft, Lars; Violante, Francesco.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paper/Preprint Working paperResearch

  12. Published

    Yes We Can (Price Derivatives on Survivor Indices). / Boyer, M. Martin; Stentoft, Lars.

    In: Risk Management and Insurance Review, Vol. 20, No. 1, 01.03.2017, p. 37-62.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. 2014
  14. Published

    The value of multivariate model sophistication : An application to pricing Dow Jones Industrial Average options. / Rombouts, Jeroen; Stentoft, Lars; Violante, Francesco.

    In: International Journal of Forecasting, Vol. 30, No. 1, 01.01.2014, p. 78-98.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. Published

    Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models. / Rombouts, Jeroen; Stentoft, Lars.

    In: Computational Statistics & Data Analysis, 2014, p. 588-605.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  16. Published

    Measuring Longevity Risk : An Application to the Royal Canadian Mounted Police Pension Plan. / Boyer, Martin M.; Mejza, Joanna; Stentoft, Lars.

    In: Risk Management and Insurance Review, Vol. 17, No. 1, 2014, p. 37-59.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  17. Published

    Refining the least squares Monte Carlo method by imposing structure. / Létourneau, Pascal ; Stentoft, Lars.

    In: Quantitative Finance, Vol. Volume 14, No. 3, 2014, p. 495-507.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  18. Published

    Value Function Approximation or Stopping Time Approximation : A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression. / Stentoft, Lars.

    In: Journal of Computational Finance, 2014, p. 65-120.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. 2013
  20. Published

    A Simulation-and-Regression Approach for Stochastic Dynamic Programs with Endogenous State Variable. / Denault, Michel ; Simonato, Jean-Guy; Stentoft, Lars.

    In: Computers & Operations Research, Vol. 40, No. 11, 2013, p. 2760-2769.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  21. Published

    American Option Pricing Using Simulation with an Application to the GARCH Model. / Stentoft, Lars.

    Handbook Of Research Methods And Applications In Empirical Finance. ed. / Adrian R. Bell; Chris Brooks; Marcel Prokopczuk. Cheltenham, UK : Edward Elgar Publishing, 2013. p. 114-147.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  22. Published

    If we can simulate it, we can insure it : An application to longevity risk management. / Boyer, M.M.; Stentoft, Lars.

    In: Insurance: Mathematics and Economics, Vol. 52, No. 1, 2013, p. 35-45.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. 2012
  24. Published

    The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options. / Rombouts, Jeroen V.K. ; Stentoft, Lars; Violante, Francesco.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paper/Preprint Working paperResearch

  25. 2010
  26. Published

    Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models. / Rombouts, Jeroen V.K.; Stentoft, Lars.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paper/Preprint Working paperResearch