Lars Stentoft
Associate Professor / Joint with the Department of
Department of Economics
University of Western Ontario
Canada
Biography
Lars Stentoft , Associate Professor / Joint with the Department of Statistical and Actuarial Sciences, Canada Research Chair in Financial Econometrics, of Department of Economics at the University of Western Ontario, Canada.
Research Interest
Finance; Financial Econometrics; Computational Finance; Econometrics
Publications
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Stentoft L. Pricing American options when the underlying asset follows GARCH processes. Journal of Empirical Finance. 2005 Sep 30;12(4):576-611.
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Stentoft L. Assessing the least squares Monte-Carlo approach to American option valuation. Review of Derivatives research. 2004 Aug 1;7(2):129-68.
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Stentoft L. Convergence of the least squares Monte Carlo approach to American option valuation. Management Science. 2004 Sep;50(9):1193-203.
