Recall risk neutral probability is computed by u-d Show that under the assumption of non-arbitrage, p* is always a number between 0 and Hint: Prove contradiction if p"f (0,1). Step 1: Assume p* > 1, build an arbitrage portfolio with long/short stock and lend/borrow cash Step2: Assume p 1, build an arbitrage portfolio with long/short stock and lend/borrow cash Step2: Assume p