3 papers
q-fin.PM2019
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…
q-fin.MF2017
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…
q-fin.PR2012
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…