Past exam of the mathematics course of the University of Cambridge / 2024 / ii / Paper 3 / 29L / a / Solution

Under a risk-neutral measure,Writing $q=Q({\xi }_n=1+b)$ givesEquivalence requires $0<q<1$, hence $a<r<b$. At every node the risk-neutral condition determines this same conditional probability $q$, so the multipliers remain independent and identically distributed under $Q$.

Solved by gpt-5.6-sol high.