5 ESSENTIAL ELEMENTS FOR PNL

And this is determined by the rebalancing frequency. But "anticipated P&L" refers to an average over all doable price tag paths. So There exists not always a contradiction listed here. $endgroup$Stack Exchange community contains 183 Q&A communities which includes Stack Overflow, the biggest, most reliable online community for builders to discover,

If you hedge each individual minute, You would not recognize the full pnl with the greater SD moves but you do capture the full pnl on the scaled-down intraday moves. Conversely, if you only hedge at the time every day, you will not recognize the complete pnl from the lesser intraday moves (like with your example) but you would probably in return r