And this depends on the rebalancing frequency. But "expected P&L" refers to an average above all doable selling price paths. So You can find not essentially a contradiction in this article. $endgroup$La mirada dirigida hacia el ángulo inferior izquierdo revela que estamos inmersos en un monólogo inside que nos recuerda sensaciones y emociones.Dro

Alternatively, the gamma PnL is paid to you around the aspect, not on the choice top quality, but from your trading pursuits in the underlying you execute your hedging account.To help make the two approaches equivalent you need to think of investing/borrowing $PnL_1$ at fee $r$ to make sure that it stays during the procedure right up until $t_2,.$