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. 
@article{TM_2002_237_a4,
     author = {P. Jakubenas},
     title = {On {Option} {Pricing} in {Certain} {Incomplete} {Markets}},
     journal = {Trudy Matematicheskogo Instituta imeni V.A. Steklova},
     pages = {123--142},
     publisher = {mathdoc},
     volume = {237},
     year = {2002},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TM_2002_237_a4/}
}
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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/