Abstract : We consider markets driven by normal martingales which have the chaotic representation property, e.g.: martingales satisfying a deterministic structure equation, Azéma martingales. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the Delta-hedging method, depending on which is most appropriate. Using the Malliavin calculus on Poisson space we compute Greeks for Asian options in a market driven by a Poisson process. We also consider a stochastic volatility model with jumps where the underlying asset price is driven by process sum of a 2-dimensional Brownian motion and Poisson process. The market is incomplete and there exists an infinity of equivalent martingale measures. We minimize the entropy to choose such a measure, under which we determine the strategy minimizing the variance.