17 citations · 17 across the 3 of their papers we have counts for
4 papers
Optimal Convergence Trading with Unobservable Pricing Errors
Sühan Altay, Katia Colaneri, Zehra Eksi
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relati…
Portfolio optimization for a large investor controlling market sentiment under partial information
Sühan Altay, Katia Colaneri, Zehra Eksi
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite…
Pairs Trading under Drift Uncertainty and Risk Penalization
Sühan Altay, Katia Colaneri, Zehra Eksi
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short…
Digital double barrier options: Several barrier periods and structure floors
Sühan Altay, Stefan Gerhold, Karin Hirhager
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some…