HELPING THE OTHERS REALIZE THE ADVANTAGES OF PNL

Then again, the gamma PnL is paid out to you on the side, not on the option premium, but from the investing activities within the underlying you carry out your hedging account.To produce the two solutions equivalent you need to consider investing/borrowing $PnL_1$ at charge $r$ to ensure it stays inside the technique right up until $t_2,.$ At the m

If you hedge just about every minute, You would not comprehend the full pnl with the much larger SD moves however you do seize the entire pnl from the smaller intraday moves. Conversely, if You simply hedge as soon as per day, you won't comprehend the full pnl from your smaller intraday moves (like as part of your example) but you should in return