This paper considers the introduction of stock options in an (dynamically) incomplete securities market made up of a riskless bond and the stock. The stock price follows a geometric Brownian motion with constant drift. However, there is incomplete information about the unknown stochastic...

1 Introduction -- 2 The Valuation of Contingent Claims: A Survey -- 3 Existence of Consistent Price Systems -- 3.1 The basic model -- 3.2 Arbitrage and equivalent martingale measures -- 3.3 Examples -- 4 The Continuous-time Trading Model -- 4.1 Continuous-time self-financing trading strategies...