Exercise 6.5 Suppose that n = T = 1 and = {1, 2} with P(i) >

Exercise 6.5 Suppose that n = T = 1 and Ω = {ω1, ω2} with P(ωi) > 0.

For the security price processes, we assume that S0(0) = 1, S0(1, ωi) = 1.1 for i = 1, 2, S1(0) = 5, S1(1, ω1) = 5.4, and S1(1, ω2) = 5.2. Prove that there exists an arbitrage opportunity in this securities market.