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Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact

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  • Yan Dolinsky

Abstract

In this work we study a continuous time exponential utility maximization problem in the presence of a linear temporary price impact. More precisely, for the case where the risky asset is given by the Ornstein-Uhlenbeck diffusion process we compute the optimal portfolio strategy and the corresponding value. Our method of solution relies on duality, and it is purely probabilistic.

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  • Yan Dolinsky, 2025. "Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact," Papers 2509.25472, arXiv.org.
    • Handle: RePEc:arx:papers:2509.25472
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    File URL: http://arxiv.org/pdf/2509.25472
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