$ From the "work circumstance" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little)
On the other hand, the existence of sizeable autocorrelation from the return approach would hint that we are able to trade using futures/linear goods on a intraday horizon which might possibly (following accounting for liquidity and theta) confirm a lot more lucrative to trade compared to the delta hedging tactic.
PNL were being established to carry out at Coachella, certainly one of the biggest songs festivals in America during its 2017 edition.
$begingroup$ For those who have a look at just only one instance, it might seem to be the frequency of hedging straight effects the EV/Avg(Pnl), like in your situation you described where hedging every moment proved to be extra financially rewarding.
Or does it actually not matter? I mean both can return different values so I need to talk to which benefit is more accurate. $endgroup$
Basically How would you demonstrate what gamma pnl will be mathematically and How can you show what vega pnl might be? I think that gamma pnl is place x (vega x IV - RV)
P&L is the day-more than-day transform in the worth of the more info portfolio of trades usually calculated employing the subsequent components: PnL = Value these days − Worth from Prior Day
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In the event the Loss of life penalty is Mistaken due to the fact "Let's say the convicted was innocent", then isn't any punishment wrong?
Look at the delta neutral portfolio $Pi=C-frac partial C partial S S$. Assuming the interest amount and volatility will not be adjust in the course of the tiny time frame $Delta t$. The P$&$L on the portfolio is offered by
I found a serious oversight within a paper published by my professor's prior scholar. To whom ought to I report my results?
$begingroup$ You might be appropriate that the overall P&L (or when you simply call it The online P&L) must be the same for The 2 procedures, so one thing went Mistaken.
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one $begingroup$ @KaiSqDist: that might be another problem. The approximation here is related to the understood volatility. $endgroup$