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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 3, Pages 608–618
DOI: https://doi.org/10.4213/tvp44 (Mi tvp44) 		 
Short Communications

Variance-minimizing hedging in the model with jumps at deterministic moments

V. M. Radchenko

National Taras Shevchenko University of Kyiv
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DOI: https://doi.org/10.4213/tvp44
Abstract: 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.
Received: 19.08.2004
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 3, Pages 536–545
DOI: https://doi.org/10.1137/S0040585X97982578
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. M. Radchenko, “Variance-minimizing hedging in the model with jumps at deterministic moments”, Teor. Veroyatnost. i Primenen., 51:3 (2006), 608–618; Theory Probab. Appl., 51:3 (2007), 536–545
Citation in format AMSBIB
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