I’ve waited for your reply, but it’s getting late. Here’s my best guess at what will help you, and next time I check in I can see what you were really looking for.
To make it simple, suppose you bought a call option at the money. If the underlying asset goes up you will get the asset for below market cost, and if it goes down you do nothing. The same thing is achieved by buying the underlying and a put option at the money – if the asset goes up you have the appreciated asset, and if it goes down you sell it for the strike price.
The only difference is the time value of money- you need to borrow money to buy the call in the example, and you need to borrow money in the counter example equal to the price of the asset and the put. That is the debt/bond piece.
If the stock failed overnight you’d lose nothing – if you have a call option nothing at all happens, and if you have the stock plus a put option you can force it on someone else for the strike. You can google put call parity theory if you want to understand the math behind this.
Black Scholes uses this concept, and comes up with the price for the options. Nothing more or less. I don’t think you’ve made it clear what your question is, or what it has to do with BSM, but go ahead and rephrase.