Before revision:  Finally, we extend the notion of semimartingales of class-(\Sigma) to optional semimartingales with jumps in its finite variation part , allowing one to establish formulae similar to the Madan-Roynette-Yor option pricing formula for  larger class of processes  .
After revision:  Finally, we extend the notion of semimartingales of class-(\Sigma) to optional semimartingales with jumps in its finite variation part of the semimartingale decomposition. This allows one to establish formulae similar to the Madan-Roynette-Yor option pricing formula for larger class of processes .