Explicit Computations for Delayed Semistatic Hedging
Yan Dolinsky, Or Zuk
TL;DR
This paper addresses the problem of maximizing exponential utility through semistatic hedging strategies, providing explicit computations to improve understanding and implementation of such financial models.
Contribution
It introduces explicit computational methods for delayed semistatic hedging within the exponential utility maximization framework.
Findings
Derived explicit formulas for semistatic hedging strategies
Enhanced computational efficiency for utility maximization
Provided theoretical insights into delayed hedging mechanisms
Abstract
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
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Taxonomy
TopicsStochastic processes and financial applications