Before revision:   Arai and Suzuki (2015) obtained a formula of locally risk-minimizing for L\'evy markets under many additional conditions by using Malliavin calculus for L\'evy processes.
After revision:  Using Malliavin calculus for Levy processes, Arai and Suzuki (2015) obtained a formula of locally risk-minimizing for L\'evy markets under many additional conditions by using Malliavin calculus for L\'evy processes.