Minimum variance hedging in a model with jumps at Poisson random times

V. M. Radchenko
2009 Theory of Probability and Mathematical Statistics  
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.
doi:10.1090/s0094-9000-09-00771-6 fatcat:lgyjwuqjebfb7azrw4hxgtootq