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).