Risk-neutral compatibility with option prices (Q2430260)

The authors consider a general market model, where the price process consists of a stochastic integral with respect to a Wiener process, small jumps driven by a compensated Poisson random measure and arbitrary large jumps. This model is in general incomplete. To tackle this problem, they include models for options in two different frameworks: the first one with a finite trading time horizon (called partial models) and the second with an infinite one (called full models). For both frameworks they find out when it is possible to choose a unique ``equivalent local martingale measure''. In doing so, they need to ensure a kind of compatibility between the price process and the option prices, and this poses some significant mathematical difficulties. The results are illustrated with some examples.