$ During the "get the job done scenario" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a tad)
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$begingroup$ For a possibility with rate $C$, the P$&$L, with regard to variations of your fundamental asset selling price $S$ and volatility $sigma$, is supplied by
$begingroup$ You happen to be suitable that the whole P&L (or as you connect with it The web P&L) should be the same for The 2 approaches, so one thing went Incorrect.
In this case, once we evaluate vol in more compact 30 min increments, we could see it can be appreciably unique than vol measured on close to shut price ranges. Both of those traders purchase the straddle over a 1 vol for instance, who do you think could well be improved off? The one that hedges various instances daily or the one who hedges once at the conclusion of the working day? In this instance, the stock is not really undertaking at some continual vol whatsoever times in time around the length in the lifetime of the option and all through day after day, alternatively we will see the intraday vol is appreciably distinct that the each day close to close vol.
$begingroup$ It is actually in truth. It is really Primarily attention-grabbing inside of a portfolio in which you could be hedging some hazards and preserving Other people. $endgroup$
Which means if $sigma$ adjustments because the fundamental improvements you could possibly account for that 2nd-buy result website with extra sensitivities (vanna specifically), but All those effects are normally much smaller and will be insignificant determined by your function.
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Are classified as the calculations right? I believed that the netPnl have to be constantly a similar - regardless of the valuation variety
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$begingroup$ Assuming that you're Operating for a bank, you will discover a few diverse P&Ls depending upon the function/ utilization:
$begingroup$ Under the assumptions of GBM - particularly that periodic returns are impartial of one another - then hedging frequency will likely have 0 effect on the envisioned P/L as time passes.
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La PNL sostiene que la mente y el cuerpo están interconectados y se influyen mutuamente. Los pensamientos pueden afectar las emociones y el comportamiento, y viceversa. Por lo tanto, al cambiar nuestros pensamientos, podemos influir en nuestras emociones y comportamientos.