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We consider a model where the price of an option is driven by a Wiener process and changes randomly at the moments determined by a homogeneous Poisson process. The formula for the minimum variance hedging strategy is obtained for a European type call option. The derivation of the formula is based on the Föllmer-Schweizer decomposition of a contingent claim. 2000 Mathematics Subject Classification. Primary 91B28; Secondary 60H05.doi:10.1090/s0094-9000-09-00771-6 fatcat:lgyjwuqjebfb7azrw4hxgtootq