Is stitching multiple images at different exposure as in HDR the only option to capture such a shot?

You have lots of options. Here are a few:

• Move the subject closer to the lamp, increasing the intensity of light hitting the subject, and decreasing the difference between subject and lamp.

• Frame the shot to exclude the brightest part of the lamp, but including part of the (probably much dimmer) lampshade for context.

• Frame the shot to exclude the lamp entirely. If the shadows on the subject are the interesting part of the shot, viewers will understand that there was a light nearby.

• Replace the lightbulb with one that's not so bright.

• Add light to the subject. A speedlight with appropriate gel and modifiers could help you increase the light on the subject while keeping the shadows you want.

• Get a smaller lamp. Notice that the candle flame in your example shot is blown out and literally a "burning ball of fire." It's not necessarily the intensity of the lamp so much as the size -- you don't want half your image to be blown out.

• Partly surround the bulb with a gel to cut its brightness. Use a neutral density gel to just reduce the brightness, or a colored gel to play up the golden color you want, or a combination of both. Leave the side of the bulb facing the subject bare, so that the gel cuts the light shining on the camera but not that hitting the subject.