| Convergence of the least squares Monte Carlo approach to American option valuation L Stentoft Management Science 50 (9), 1193-1203, 2004 | 248 | 2004 |
| Assessing the least squares Monte-Carlo approach to American option valuation L Stentoft Review of Derivatives research 7, 129-168, 2004 | 190 | 2004 |
| Pricing American options when the underlying asset follows GARCH processes L Stentoft Journal of Empirical Finance 12 (4), 576-611, 2005 | 96 | 2005 |
| American option pricing using GARCH models and the normal inverse Gaussian distribution L Stentoft Journal of Financial Econometrics 6 (4), 540-582, 2008 | 85 | 2008 |
| Option pricing using realized volatility L Stentoft Available at SSRN 1108007, 2008 | 53 | 2008 |
| If we can simulate it, we can insure it: An application to longevity risk management MM Boyer, L Stentoft Insurance: Mathematics and Economics 52 (1), 35-45, 2013 | 48 | 2013 |
| Seasonality in economic models B Brendstrup, S Hylleberg, MØ Nielsen, L Skipper, L Stentoft Macroeconomic Dynamics 8 (3), 362-394, 2004 | 40 | 2004 |
| Value function approximation or stopping time approximation: A comparison of two recent numerical methods for American option pricing using simulation and regression L Stentoft Journal of Computational Finance 18 (1), 2014 | 37 | 2014 |
| A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables M Denault, JG Simonato, L Stentoft Computers & Operations Research 40 (11), 2760-2769, 2013 | 35 | 2013 |
| Multivariate option pricing with time varying volatility and correlations JVK Rombouts, L Stentoft Journal of Banking & Finance 35 (9), 2267-2281, 2011 | 33 | 2011 |
| Bayesian option pricing using mixed normal heteroskedasticity models JVK Rombouts, L Stentoft Computational statistics & data analysis 76, 588-605, 2014 | 28* | 2014 |
| Refining the least squares Monte Carlo method by imposing structure P Létourneau, L Stentoft Quantitative Finance 14 (3), 495-507, 2014 | 27 | 2014 |
| American option pricing with discrete and continuous time models: An empirical comparison L Stentoft Journal of Empirical Finance 18 (5), 880-902, 2011 | 24 | 2011 |
| Option pricing with asymmetric heteroskedastic normal mixture models JVK Rombouts, L Stentoft International Journal of Forecasting 31 (3), 635-650, 2015 | 20* | 2015 |
| Option pricing with conditional GARCH models M Escobar-Anel, J Rastegari, L Stentoft European Journal of Operational Research 289 (1), 350-363, 2021 | 19 | 2021 |
| The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options J Rombouts, L Stentoft, F Violante International Journal of Forecasting 30 (1), 78-98, 2014 | 19 | 2014 |
| Stationary threshold vector autoregressive models G Grynkiv, L Stentoft Journal of Risk and Financial Management 11 (3), 45, 2018 | 15 | 2018 |
| Affine multivariate GARCH models M Escobar-Anel, J Rastegari, L Stentoft Journal of Banking & Finance 118, 105895, 2020 | 14 | 2020 |
| Regulatory capital and incentives for risk model choice under Basel 3 F Liu, L Stentoft Journal of Financial Econometrics 19 (1), 53-96, 2021 | 11 | 2021 |
| Which pricing approach for options under GARCH with non-normal innovations? JG Simonato, L Stentoft | 10 | 2015 |
Jeroen VK RomboutsESSEC Business SchoolGeverifieerd e-mailadres voor essec.edu
