Minimal variance hedging of options with student-t underlying

I explicitly work out closed form solutions for the optimal hedging strateg ies (in the sense of Bouchaud and Sornette) in the case of European call op tions, where the underlying is modeled by (unbiased) lid additive returns w ith the Student-t distributions. The results may serve as illustrative exam ples for option pricing in the presence of fat tails. (C) 2000 Elsevier Sci ence B.V. All rights reserved.