關於Black Scholes派生的基本問題

1）為什麽投資組合的價值等於溢價的價值？
2）這個等式是否假設基礎衍生工具是看漲期權？

最佳答案

1) Instead of asking why the portfolio is equal to the premium, ask why create it at all? I say that because it actually isn't equal to the premium, since that would just be D, and also because the actual value isn't as important as what the portfolio represents.

2) This equation is valid for any derivative that is differentiable twice with respect to S (the stock price) and once with respect to t (time). We have made no assumptions yet about put or call. As you will see, delta for puts is between -1 and 0, so if the derivative were a put the stock component of this portfolio would be negative.

Hull's book really does a great job of explaining this, I suggest you pick up a copy if you haven't already.