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 , allowing one to establish formulae similar to the Madan-Roynette-Yor option pricing formula for larger class of processes , and we apply the extended formula to the construction of finite honest times .