A lot of numerical and experimental studies indicate that wrap-around fin configuration exhibits a self-induced rolling moment even at angle of attack zero. It depends on the unequal pressure distributions over both sides of the fin. In this paper, we try to prove this special aerodynamic characteristic with a theoretical method. According to the transonic small perturbation potential theory, as well as the transonic small perturbation potential equation, this paper found the expressions of the wrap-around fin convexity and the concave pressure coefficient at subsonic and supersonic by solving the Laplace equation and the Bessel function of imaginary argument, and analyze the phenomena of wrap-around fin rolling moment generation at angle of attack zero, and discuss the reason. The flow field of a projectile with wrap-around fins is solved by numerical method to check the pressure distributions of the two surfaces of the wing at subsonic and supersonic, respectively. The computational result is accordant to the theoretical analysis results. It is proved that the complicated pressure distribution of the wing surfaces leads to the particular characteristic of rolling moment.