That's not similar to the pnl equalling the cost compensated, instead the expected pnl of the system would be similar to the choice price. $endgroup$
For making The 2 approaches equivalent you need to consider investing/borrowing $PnL_1$ at fee $r$ so that it stays during the technique right up until $t_2,.$ At that time your
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Nivel Egres: Through the standpoint of gamma pnl, the only thing that matters is definitely the adjust in your asset value. Frequency is irrelevant - it is possible to rebalance at distinct time periods or when delta exceeds a threshold or a number of other issues - it is still an approximation of continuous integral as well as your predicted P&L could well be the identical.
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WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say to begin with that $V$ is self-financing? In that scenario there is not any Price tag to finance it as well as the PnL is always just $V_T-V_t$ in between any two time details. $endgroup$
When there is autocorrelation in the intraday return method that you decide on to hedge at (which will subsequently have an impact on each day annualised volatility), then your P/L is undoubtedly afflicted by your alternative of hedging interval.
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The implied volatility floor and the choice Greeks - to what extent is the knowledge contained of their daily movements the exact same? 4
$begingroup$ I am undecided That which you necessarily mean by "cross" consequences - the only correlation is they equally are capabilities on the transform in underlying ($Delta S$)
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$begingroup$ Why does Gamma Pnl have publicity to realised volatility, but Vega Pnl only has exposure to implied volatility? I'm puzzled regarding why gamma pnl is impacted (extra) by IV and why vega pnl isnt impacted (extra) by RV?
So if I acquire an alternative and delta hedge then I earn a living on gamma but reduce on theta and both of these offset each other. Then how do I Recuperate selection selling price from delta hedging more info i.e. should not my pnl be equivalent to the choice rate paid?
La mente y el cuerpo se consideran como un único sistema, cada uno influenciando directamente al otro. Por ejemplo, lo que ocurre en el inside de tu cuerpo afecta a los pensamientos y afectará a las personas de tu alrededor.