Exercise 13.2.13 Show that for any k> 0 there exists a risk-neutral probability measure under which

Exercise 13.2.13 Show that for any k> 0 there exists a risk-neutral probability measure π under which the price of any asset C equals its discounted expected future price at time k, that is, C(i) = d(k−i) Eπ

i [C(k) ], where i ≤ k. Recall that d( · ) denotes the discount function at time i . This π is called the forward-neutral probability measure.