User profiles for L. Stentoft
Lars StentoftAssociate Professor, Department of Economics, University of Western Ontario Verified email at uwo.ca Cited by 1185 |
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
… values of ε t 2 are set equal to their unconditional expectation and (1 − L) d is truncated. …
foundation for the use of the method in derivatives research is provided in Stentoft (2004b). …
foundation for the use of the method in derivatives research is provided in Stentoft (2004b). …
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 …
Seasonality in economic models
…, MØ Nielsen, L Skipper, L Stentoft - Macroeconomic …, 2004 - cambridge.org
… =−1, and annual frequencies ω ={π/2, 3π/2} corresponding to L =±i. The standard … L = 1,
and much of this work has now been generalized to include the seasonal cases L =−1 and/or L =…
and much of this work has now been generalized to include the seasonal cases L =−1 and/or L =…
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
… We work with the same set of artificial options that Stentoft (2004a) used to examine the
estimated approximate stopping time algorithm of Longstaff and Schwartz (2001). Thus, in what …
estimated approximate stopping time algorithm of Longstaff and Schwartz (2001). Thus, in what …
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
M Denault, JG Simonato, L Stentoft - Computers & Operations Research, 2013 - Elsevier
… Recall that we assumed static bounds L min ≤ L t ≤ L max … L max ; the idea is the same
for L min . We implement a supplementary bound L max + beyond L max , such that L max ≤ L …
for L min . We implement a supplementary bound L max + beyond L max , such that L max ≤ L …
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 …