= Solution
Let $X$ be a positive strict local martingale solving
$$
dX_t=X_t^2dW_t,
$$
and fix $T>0$. Use the bank account $S^0=1$ and two risky assets
$$
S_t^1=X_t,
\qquad
S_t^2=\mathbb E[X_T\mid\mathcal F_t],
\qquad0\leq t\leq T.
$$
Both discounted prices are nonnegative local martingales under the physical measure itself, so the same supermartingale argument as in part c rules out arbitrage. At maturity,
$$
S_T^1=X_T=S_T^2.
$$
But strictness means $\mathbb E[X_T\mid\mathcal F_t]<X_t$ for some earlier $t$ on a set of positive probability, so the two prices are not indistinguishable before $T$. This no-arbitrage market violates the Law of One Price.
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