# Formal proof market incompleteness under jump diffusion

Does anyone have formal proof of markets incompleteness under jump diffusion ?

I am familiar with the intuitive approach as mentioned in Tankov (delta), yet I am looking for a formal approach and some reference paper :)

Thank you in advance ! :)

• I am not sure what you mean by "formal proof". In a complete market you can insure for any future contingency. To prove incompleteness it suffices to show one counterexample of this. I have not read Tankov, but if he gives just one example, it suffices. – Alex C Feb 6 at 1:27