In the context of a single-period financial market with $n$ traded assets, what is an arbitrage? What is an equivalent martingale measure?

Fix $\epsilon \in(0,1)$ and consider the following single-period market with 3 assets:

Asset 1 is a riskless bond and pays no interest.

Asset 2 is a stock with initial price $£ 1$ per share; its possible final prices are $u=1+\epsilon$ with probability $3 / 5$ and $d=1-\epsilon$ with probability $2 / 5$.

Asset 3 is another stock that behaves like an independent copy of asset 2 .

Find all equivalent martingale measures for the problem and characterise all contingent claims that can be replicated.

Consider a contingent claim $Y$ that pays 1 if both risky assets move in the same direction and zero otherwise. Show that the lower arbitrage bound, simply obtained by calculating all possible prices as the pricing measure ranges over all equivalent martingale measures, is zero. Why might someone pay for such a contract?