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Explicit Computations for Delayed Semistatic Hedging

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  • Yan Dolinsky
  • Or Zuk

Abstract

In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.

Suggested Citation

  • Yan Dolinsky & Or Zuk, 2023. "Explicit Computations for Delayed Semistatic Hedging," Papers 2308.10550, arXiv.org.
    • Handle: RePEc:arx:papers:2308.10550
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    References listed on IDEAS

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    1. Erhan Bayraktar & Zhou Zhou, 2015. "Arbitrage, hedging and utility maximization using semi-static trading strategies with American options," Papers 1502.06681, arXiv.org, revised Feb 2016.
    2. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    3. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    4. Álvaro Cartea & Leandro Sánchez-Betancourt, 2023. "Optimal execution with stochastic delay," Finance and Stochastics, Springer, vol. 27(1), pages 1-47, January.
    5. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
    6. Peter Bank & Yan Dolinsky, 2020. "A Note on Utility Indifference Pricing with Delayed Information," Papers 2011.05023, arXiv.org, revised Mar 2021.
    7. Yan Dolinsky & Or Zuk, 2023. "Exponential Utility Maximization in a Discrete Time Gaussian Framework," Papers 2305.18136, arXiv.org, revised Jun 2023.
    8. B. Acciaio & M. Beiglböck & F. Penkner & W. Schachermayer, 2016. "A Model-Free Version Of The Fundamental Theorem Of Asset Pricing And The Super-Replication Theorem," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 233-251, April.
    9. Rüdiger Frey, 2000. "Risk Minimization with Incomplete Information in a Model for High‐Frequency Data," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 215-225, April.
    10. Martin Schweizer & Danijel Zivoi & Mario Šikić, 2018. "Dynamic Mean–Variance Optimization Problems With Deterministic Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, March.
    11. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
    12. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
    13. Martin Schweizer, 1994. "Risk‐Minimizing Hedging Strategies Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 327-342, October.
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    Cited by:

    1. Yan Dolinsky, 2023. "Delayed Semi-static Hedging in the Continuous Time Bachelier Model," Papers 2311.17270, arXiv.org, revised Dec 2023.

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