Radchenko, V. M. Variance-minimizing hedging in a model with jumps at deterministic times. (English. Russian original) Zbl 1255.91407 Theory Probab. Appl. 51, No. 3, 536-545 (2007); translation from Teor. Veroyatn. Primen. 51, No. 3, 608-618 (2007). Summary: 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. Cited in 1 Document MSC: 91G20 Derivative securities (option pricing, hedging, etc.) 60J75 Jump processes (MSC2010) 91B25 Asset pricing models (MSC2010) Keywords:variance-minimizing hedging; European call option; Föllmer-Schweizer decomposition; model of asset price with jumps; nonrandom jump times; minimal martingale measure PDFBibTeX XMLCite \textit{V. M. Radchenko}, Theory Probab. Appl. 51, No. 3, 536--545 (2007; Zbl 1255.91407); translation from Teor. Veroyatn. Primen. 51, No. 3, 608--618 (2007) Full Text: DOI