Lars Stentoft

Publication Activity (10 Years)

Years Active: 2004-2023
Publications (10 Years): 2

Top Topics

Conditional Probabilities

Top Venues

Oper. Res. Lett.

Comput. Stat. Data Anal.

Eur. J. Oper. Res.

Publications

François-Michel Boire, R. Mark Reesor, Lars Stentoft
Lower bounds for American option prices with control variates. Oper. Res. Lett. 51 (6) (2023)
Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft
Option pricing with conditional GARCH models. Eur. J. Oper. Res. 289 (1) (2021)
Jeroen V. K. Rombouts, Lars Stentoft
Bayesian option pricing using mixed normal heteroskedasticity models. Comput. Stat. Data Anal. 76 (2014)
Michel Denault, Jean-Guy Simonato, Lars Stentoft
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables. Comput. Oper. Res. 40 (11) (2013)
Lars Stentoft
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation. Manag. Sci. 50 (9) (2004)