Exercise 26.2.4 Prove that Eqs. (26.3) and (26.3) become Pd(t +1, t +n) = P(t, t +n)

P(t, t +1)

exp[ v2 + · · · + vn ]

p+(1− p)×exp[ v2 + · · · + vn ]

, Pu(t +1, t +n) = P(t, t +n)

P(t, t +1)

1 p+(1− p)×exp[ v2 + · · · + vn ]

for general risk-neutral probability p.