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Minimum variance hedging in a model with jumps at Poisson random times
2009
Theory of Probability and Mathematical Statistics
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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.
doi:10.1090/s0094-9000-09-00771-6
fatcat:lgyjwuqjebfb7azrw4hxgtootq