Corcuera, José Manuel; Nualart, David; Schoutens, Wim - In: Finance and Stochastics 9 (2005) 1, pp. 109-127
Except for the geometric Brownian model and the geometric Poissonian model, the general geometric Lévy market models are incomplete models and there are many equivalent martingale measures. In this paper we suggest to enlarge the market by a series of very special assets (power-jump assets)...