Before revision:  We then extend the notion of semimartingales of class-(\Sigma) to optional semimartingales with jumps in its finite variation part, allowing one to establish formulas similar to the Madan-Roynette-Yor option pricing formulas for larger class of processes.
After revision:  We then extend the notion of semimartingales of class-(\Sigma) to optional semimartingales with jumps in its finite variation part, allowing one to establish formulas similar to the Madan-Roynette-Yor option pricing formula for larger class of processes.