Most of the discussion in this chapter depends heavily on the ability to trade the underlying asset

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Most of the discussion in this chapter depends heavily on the ability to trade the underlying asset and sometimes the derivative(s) as well in order to construct the hedged portfolio. Consider how would one solve option pricing problem when the underlying asset is not tradable. Ingersoll (1987, p. 381) provides some analyses for the diffusion case. Suggest how you would extend this analysis to jump-diffusion case.

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