# Option Pricing under Jump Diffusion Models

I was wondering what the overall approach/intuition behind how to price options under Jump Diffusion Models. My understanding is under Diffusion models such as Geometric Brownian Motion (Black Sholes), allows for concept of complete markets in particular that the perfect hedging strategies thus one can replicate a call option thus leading to a pricing of the options by a no arbitrage argument. But since in Jump Diffusion models markets are incomplete, how would one approach this problem?

There may be some fundamental misunderstanding that I have with problem of pricing a derivative. So as an additional question, when someone prices a derivative what is one usual thought process in deciding a price?