Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Lars Stentoft

Multivariate Option Pricing With Time Varying Volatility and Correlations

SSRN Electronic Journal

English

Multivariate Option Pricing With Time Varying Volatility and Correlations

SSRN Electronic Journal

English

What We Can Learn From Pricing 139,879 Individual Stock Options

SSRN Electronic Journal

English

Related publications

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics

Applied Mathematics

Numerical Analysis

English

Target Volatility Option Pricing

International Journal of Theoretical and Applied Finance

English

Equity Option Pricing With Systematic and Idiosyncratic Volatility and Jump Risks

Journal of Risk and Financial Management

English

Option Pricing Applications of Quadratic Volatility Models

Journal of Mathematical Finance

English

Two Stochastic Volatility Processes - American Option Pricing

SSRN Electronic Journal

English

Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance

English

Pricing Commodity Options When the Underlying Futures Price Exhibits Time-Varying Volatility

American Journal of Agricultural Economics

Biological Sciences

English

Option Pricing With Discrete Time Jump Processes

Journal of Economic Dynamics and Control

Applied Mathematics

English