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.