How Much You Need To Expect You'll Pay For A Good pnl
How Much You Need To Expect You'll Pay For A Good pnl
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And this depends on the rebalancing frequency. But "expected P&L" refers to an average in excess of all doable rate paths. So there is not necessarily a contradiction right here. $endgroup$
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A todos nos ha ocurrido que reaccionamos ante una situación y luego nuestra voz interior nos va diciendo que 10íamos que haber dicho otra cosa o haber reaccionado de otra manera.
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WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say originally that $V$ is self-funding? In that situation there is absolutely no Value to finance it plus the PnL is often just $V_T-V_t$ involving any two time details. $endgroup$
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InnocentRInnocentR 72211 gold badge66 silver badges1818 bronze badges $endgroup$ one $begingroup$ Should you have been to delta hedge continually and on the costless basis, then your payoff at expiry would match that of a vanilla choice.
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The online influence of all of that is that increased delta hedging frequency does just provide the smoothing effect on P/L over extensive ample time horizons. But such as you suggest you will be exposed to 1-off or rare necessarily mean reversion (or pattern) effects, but these dissipate around massive samples.
$ Inside the "get the job done circumstance" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation somewhat)
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