Consider a one-period market where there are three assets, a stock S. a risk-free asset with gross return R, and a short forward on the stock. At the beginning of the period (i.e., t = 0), the price of the stock Sy is a positive known quantity. At the end of the period (i.e., t = 1), the price of the stock will be one of two strictly positive values depending on a coin toss. If the result is H (head), the stock price is S(H)= uSo, otherwise it is S(T) = ds, with d