Geodesic
On Option Pricing in Certain Incomplete Markets
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 123-142.

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In the present paper we consider the valuation of a European option with a convex pay-off function $g$ and establish the range of “fair” option prices when the stock price is driven by an exponential of a general Lévy process. 
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P. Jakubenas. On Option Pricing in Certain Incomplete Markets. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 123-142. http://geodesic.mathdoc.fr/item/TM_2002_237_a4/

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