Geodesic
Variance-minimizing hedging in the model with jumps at deterministic moments
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 608-618 Cet article a éte moissonné depuis la source Math-Net.Ru

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We consider a model in which the asset price is driven by the Wiener process and, in addition, has random changes at earlier known nonrandom time moments. The explicit form of the variance-minimizing hedging strategy for the European call option is derived. The results are based on the Föllmer–Schweizer decomposition of contingent claims.
Keywords: variance-minimizing hedging, European call option, Föllmer–Schweizer decomposition, model of asset price with jumps, nonrandom jump times, minimal martingale measure. 
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V. M. Radchenko. Variance-minimizing hedging in the model with jumps at deterministic moments. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 608-618. http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a11/

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