Explicit Computations for Delayed Semistatic Hedging
Mathematical Finance
2024-09-19 v2
Abstract
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
Cite
@article{arxiv.2308.10550,
title = {Explicit Computations for Delayed Semistatic Hedging},
author = {Yan Dolinsky and Or Zuk},
journal= {arXiv preprint arXiv:2308.10550},
year = {2024}
}
Related papers
View all related →
Portfolio Management · Quantitative Finance
Stability of the exponential utility maximization problem with respect to preferences
Hao Xing
2013-09-04
Mathematical Finance · Quantitative Finance
Exponential Utility Maximization in a Discrete Time Gaussian Framework
Yan Dolinsky, Or Zuk
2023-06-27
Mathematical Finance · Quantitative Finance
Duality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model
Yan Dolinsky
2023-06-06
Portfolio Management · Quantitative Finance
Optimal investment and price dependence in a semi-static market
Pietro Siorpaes
2013-10-09
Portfolio Management · Quantitative Finance
Exponential utility maximization under model uncertainty for unbounded endowments
Daniel Bartl
2019-02-12
Portfolio Management · Quantitative Finance
Stability of the utility maximization problem with random endowment in incomplete markets
Constantinos Kardaras, Gordan Zitkovic
2010-03-17
Mathematical Finance · Quantitative Finance
Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework
Yan Dolinsky
2025-10-06
Mathematical Finance · Quantitative Finance
Optimal positioning in derivative securities in incomplete markets
Tim Leung, Matthew Lorig, Yoshihiro Shirai
2024-03-04
Mathematical Finance · Quantitative Finance
Robust utility maximization with nonlinear continuous semimartingales
David Criens, Lars Niemann
2023-08-04
Portfolio Management · Quantitative Finance
Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
Yan Dolinsky
2025-10-01
Portfolio Management · Quantitative Finance
On utility maximization under convex portfolio constraints
Kasper Larsen, Gordan Žitković
2013-02-25
Computational Finance · Quantitative Finance
Utility maximization in incomplete markets with default
Thomas Lim, Marie-Claire Quenez
2010-07-13
Mathematical Finance · Quantitative Finance
Robust Optimal Investment in Discrete Time for Unbounded Utility Function
Laurence Carassus, Romain Blanchard
2017-10-03
Probability · Mathematics
Backward Stochastic PDEs related to the utility maximization problem
M. Mania, R. Tevzadze
2008-12-10
Mathematical Finance · Quantitative Finance
On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
Miklós Rásonyi, Andrea Meireles-Rodrigues
2020-07-10
Optimization and Control · Mathematics
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Markus Mocha, Nicholas Westray
2011-07-04
Probability · Mathematics
On utility maximization in discrete-time financial market models
Miklos Rasonyi, Lukasz Stettner
2008-12-10
Portfolio Management · Quantitative Finance
Optimal Diversification and Leverage in a Utility-Based Portfolio Allocation Approach
Vladimir Markov
2025-10-01
Portfolio Management · Quantitative Finance
Optimal Investment with Stocks and Derivatives
Pietro Siorpaes
2013-10-09
Mathematical Finance · Quantitative Finance
Robust utility maximization with intractable claims
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou
2023-07-17
Probability · Mathematics
Utility maximization in incomplete markets
Ying Hu, Peter Imkeller, Matthias Muller
2008-12-10
Portfolio Management · Quantitative Finance
Robust expected utility maximization with medial limits
Daniel Bartl, Patrick Cheridito, Michael Kupper
2019-02-12
Probability · Mathematics
Robust utility maximization in non-dominated models with 2BSDEs
Anis Matoussi, Dylan Possamaï, Chao Zhou
2015-04-07
Mathematical Finance · Quantitative Finance
Semi-Static and Sparse Variance-Optimal Hedging
Paolo Di Tella, Martin Haubold, Martin Keller-Ressel
2017-09-19
Mathematical Finance · Quantitative Finance
Continuity of Utility Maximization under Weak Convergence
Erhan Bayraktar, Yan Dolinsky, Jia Guo
2020-06-19