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Separate the two weight sources
The hypothetical underlying record is S0=100, states 130/80 and factor 1.05. The strike-100 call pays 30/0. Separately, an actual probability assumption assigns 70% to the higher state.
Compute both expiry expectations
Actual expected payoff is 0.7×30+0.3×0=21. The pricing-weighted payoff is 0.5×30+0.5×0=15. Their difference comes from the weighting measure, not from a change in the option contract.
Reconcile the model value
Replication and pricing weights give current value 15/1.05=14.285714. Dividing actual expectation 21 by 1.05 instead gives 20 and does not match that model.
| Measure | Expiry amount | Risk-free division |
|---|---|---|
| Actual assumption | 21 | 20, not the replication price |
| Model pricing weight | 15 | 14.285714 |
Do not declare the actual assumption false
The model does not estimate or refute the 70% forecast. It establishes that the forecast probability is not interchangeable with its pricing weight. Valuing an actual risky expectation needs a separately justified discount or pricing framework.