Lars Stentoft

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Lower bounds for American option prices with control variates Operations Research Letters	2024-06-17	Paper
Simulated Greeks for American options Quantitative Finance	2023-06-20	Paper
Option pricing with conditional GARCH models European Journal of Operational Research	2021-06-03	Paper
Dynamics of variance risk premia: a new model for disentangling the price of risk Journal of Econometrics	2020-06-18	Paper
Bayesian option pricing using mixed normal heteroskedasticity models Computational Statistics and Data Analysis	2018-11-23	Paper
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables Computers & Operations Research	2016-11-10	Paper
American Option Pricing Using Simulation and Regression: Numerical Convergence Results Topics in Numerical Methods for Finance	2014-09-29	Paper
Refining the least squares Monte Carlo method by imposing structure Quantitative Finance	2014-09-05	Paper
If we can simulate it, we can insure it: an application to longevity risk management Insurance Mathematics & Economics	2014-07-16	Paper
SEASONALITY IN ECONOMIC MODELS Macroeconomic Dynamics	2005-03-21	Paper
Assessing the least squares Monte-Carlo approach to American option valuation Review of Derivatives Research	2005-01-12	Paper

Research outcomes over time

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