By regarding each Arrow security price as a "probability", we see that the portfolio price "P(0)" is the expected value of "C" under the risk-neutral probabilities. If the interest rate R were not zero, we would need to discount the expected value appropriately to get the price. In particular, the portfolio consisting of each Arrow security now has a present value of formula_1, so the risk-neutral probability of state i becomes formula_2 times the price of each Arrow security "Ai", or its forward price.