This it taken from "Heard on the Street", Section B.
Consider a market with $0$ risk-free rate, no transactions costs etc. The IBM stock costs \$75 and does not pay dividends. Design a security which pays \$1 if IBM stock reaches \$100. What does it cost?
The answer is \$.75 which can be proved by no-arbitrary considerations. At the same time, risk-neutral pricing suggests that the price is $$ \mathsf P\{\text{IBM has hit \$100 at least once}\} = 1. $$