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Trace an original borrowing component
The original call replication has B=−48/1.05≈−45.714286 today. Its terminal amount is −48. These are the same modeled borrowing position on different dates, not two additional debts to subtract.
Use B in the current cost
Current stock cost is 60, so the replica costs 60−45.714286=14.285714. Subtracting terminal 48 from current 60 would instead report 12 and mix dates.
Use terminal cash in each state
At expiry the stock leg is 78 or 48, and the cash leg is −48 in either state. The totals are 30 and zero. The cash leg does not change just because the underlying price branch changes.
| Date | Cash component | Role |
|---|---|---|
| Today | −45.714286 | Current replication cost |
| Expiry | −48 | State-independent terminal repayment |
Retain the common-rate assumption
The borrowing and lending conversion uses one supplied risk-free period rate in this toy model. A real funding spread or constraint needs a different record and can change the pricing argument.