Search Results - "Stentoft, Lars"

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression by Stentoft, Lars

“…In their 2001 paper, Long staff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has…”
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Convergence of the Least Squares Monte Carlo Approach to American Option Valuation by Stentoft, Lars

“…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…”
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Assessing the Least Squares Monte-Carlo Approach to American Option Valuation by Stentoft, Lars

“…A detailed analysis of the Least Squares Monte-Carlo (LSM) approach to American option valuation suggested in Longstaff and Schwartz (2001) is performed. We…”
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Simulated Greeks for American options by Letourneau, Pascal, Stentoft, Lars

“…This paper develops a method to estimate price sensitivities, so-called Greeks, for American style options using flexible simulation methods combined with…”
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Regulatory Capital and Incentives for Risk Model Choice under Basel 3 by Liu, Fred, Stentoft, Lars

“…Abstract In response to the Subprime mortgage crisis, the Basel Committee on Banking Supervision (BCBS) has spent the previous decade overhauling the…”
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Consistent and Efficient Dynamic Portfolio Replication with Many Factors by Stentoft, Lars, Wang, Sha

“…Factor investing involves choosing securities to construct portfolios with particular risk–return profiles. With the proliferation of benchmark-tracking…”
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Affine multivariate GARCH models by Escobar-Anel, Marcos, Rastegari, Javad, Stentoft, Lars

“…This paper introduces a class of Affine multivariate GARCH models. Our setting offers flexibility to accommodate stylized facts of asset returns like dynamic…”
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Option pricing with conditional GARCH models by Escobar-Anel, Marcos, Rastegari, Javad, Stentoft, Lars

“…•A class of conditional GARCH models is defined, generalizing known recursive models.•A dynamic variance dependent pricing kernel allowing fast option pricing…”
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The shifted GARCH model with affine variance: Applications in pricing by Escobar-Anel, Marcos, Hou, Yangyang, Stentoft, Lars

“…This paper introduces a modification to the affine GARCH model of Heston and Nandi (2000). The new model is designed to allow for a non-zero lower bound for…”
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Intraday Market Predictability: A Machine Learning Approach by Huddleston, Dillon, Liu, Fred, Stentoft, Lars

“…Abstract Conducting, to our knowledge, the largest study ever of 5-min equity market returns using state-of-the-art machine learning models trained on the…”
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options by Reesor, R. Mark, Stentoft, Lars, Zhu, Xiaotian

“…Least-squares Monte Carlo generates regression-based continuation value estimators that are heteroscedastic. Fabozzi et al. (2017) propose weighted…”
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Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing by Escobar-Anel, Marcos, Rastegari, Javad, Stentoft, Lars

“…This paper introduces a class of multivariate GARCH models that extends the existing literature by explicitly modeling correlation dependent pricing kernels. A…”
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American option pricing with discrete and continuous time models: An empirical comparison by Stentoft, Lars

“…This paper considers discrete time GARCH and continuous time SV models and uses these for American option pricing. We first of all show that with a particular…”
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What We Can Learn from Pricing 139,879 Individual Stock Options by Stentoft, Lars

“…It has long been obvious that stock volatility is not a constant knowable parameter, as the original Black-Scholes model assumed, but no single extension to…”
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Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models by Escobar-Anel, Marcos, Stentoft, Lars, Ye, Xize

“…This paper examines which VIX maturity to use in affine GARCH model estimation, when the objective is to do option pricing. Utilizing the Model Confidence Set…”
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The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight by Escobar-Anel, Marcos, Stentoft, Lars, Ye, Xize

“…•The validity of finite-sample MLE and the outer product of gradient standard error (OPG SE) is confirmed via simulation studies.•GARCH persistence and…”
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Lower bounds for American option prices with control variates by Boire, François-Michel, Reesor, R. Mark, Stentoft, Lars

“…This article discusses the application of optimally sampled control variates in the context of the Least-Squares Monte Carlo algorithm for pricing American…”
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Smile‐implied hedging with volatility risk by François, Pascal, Stentoft, Lars

“…Options can be dynamically replicated using model‐free Greeks extracted from the volatility smile. However, smile‐implied delta and delta–gamma hedging do not…”
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Bias Correction in the Least-Squares Monte Carlo Algorithm by Boire, François-Michel, Reesor, R. Mark, Stentoft, Lars

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

“…When it comes to individual stock option pricing, most applications consider a univariate framework. From a theoretical point of view this is unsatisfactory as…”
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