1
$\begingroup$

enter image description here

enter image description here

I know that stock prices are assumed to be Stochastic processes that follow Geometric brownian motion. The expectation of stock prices at time T given stock price at time 0 is: $e^{-rT}S_0$. However, why would the price of a portfolio containing a some calls and no underlying stock, as it is defined above, have the same property?

| improve this question | | | | |
$\endgroup$