Explicit Computations for Delayed Semistatic Hedging
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
Yan Dolinsky
7 papers in the archive (2023–2026), average empirical rigor 1.6/10, average math complexity 8.5/10. Quadrant mix: Lab Rats ×7.
Works mostly in Options & Derivatives Pricing, Stochastic Control & Optimal Stopping, Market Microstructure, Volatility Modeling & Forecasting.
Frequent co-authors: Xin Zhang (1), Or Zuk (1), Leonid Dolinskyi (1), Peter Bank (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Papers, ranked by score
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Scaling Limits for Exponential Hedging in Trinomial Models
We study scaled trinomial models converging to the Black–Scholes model, and analyze exponential certainty-equivalent prices for path-dependent European options. As the number of trading dates $n$ tends to infinity and the risk aversion is scaled as $nl$ for a fixed constant $l>0$, we derive a nontr
Optimal investment with a noisy signal of future stock prices
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock’s price fluctuations. With linear temporary price impact the resulting optimal investment problem with exponential utility turns out to be not only well posed, bu
Optimal Liquidation with High Risk Aversion and Small Linear Price Impact
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing a non-trivial scaling limit for a vanishing price impact wh
Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
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
Some Computations for Optimal Execution with Monotone Strategies
We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the number of shares and the selling rate are non-negative proces
Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework
In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case where the risky asset is given by a Gaussian process (with so