Colwell, David B.; Elliott, Robert J. - In: Mathematical Finance 3 (1993) 3, pp. 295-308
The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time "T" may not be attainable, and the market may not be complete. However, using a martingale...