Jason Lee, 37, a managing director of the equity capital markets group for Goldman Sachs, was released on $20,000 bond after being arraigned in an East Hampton court, The New York Times reported Thursday.
Police said they learned of the sexual assault while responding to a report of a disturbance at the four-bedroom home.
"While investigating, officers learned that a 20-year-old woman had been sexually assaulted inside the residence where several people had gathered," East Hampton Town police said in a press release.
The statement did not indicate how many people were at the home at the time of the alleged assault or how Lee knew the woman.
Lee attorney Edward Burke Jr. said his client "adamantly denied" the allegations.