= = Consider a market with a risk-free asset such that A(0) = 100, A(1) = 110, A(2) = 120 Euros. Suppose that the prices (in Euro) of a stock can follow four possible scenarios: Scenario S(0) S(1) S(2) W1 90 100 112 90 100 106 90 80 90 90 80 80 W2 W3 (a) State the Fundamental Theorem of Asset Pricing for this market. (b) Compute for each scenario the corresponding risk-neutral probability P#(wi), P (W2), P (W3), P (w4). (c) Suppose there exists another possible scenario, in addition to the previous four scenarios: Scenario S(0) S(1) S(2) 90 80 70 Show that there exists a risk-neutral probability measure for these five scenarios. Is it unique? Justify your answer. W5