3.3 Recommended Literature

The fundamental arbitrage relations of financial derivatives can be found in every modern finance textbook, as for example Hull (2000). In principle each option pricing theory is based on theses relations, as it is the case for the model of Black and Scholes (1973) for example, see also the fundamental article of Merton (1973). The idea of portfolio assurance was introduced by Leland (1980). It is nowadays covered above all by practical risk management textbooks as Das (1997).