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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 ! :)

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    $\begingroup$ 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. $\endgroup$ – Alex C Feb 6 at 1:27

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