pnl Options
pnl Options
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$begingroup$ In Set Money, I know that bonds PnL are evaluated based on where the worth lies on cost/yield curve at the end of the day, in comparison with exactly where it started from at commencing on the day.
La PNL no aspira a ser ninguna teoría, sino que es un modelo que estudia los factores que influyen en nuestra forma de pensar, de comunicarnos y de comportarnos. Explain el funcionamiento de un sistema.
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When there is autocorrelation from the intraday return method that you choose to hedge at (that can consequently affect each day annualised volatility), then your P/L is certainly influenced by your option of hedging interval.
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$begingroup$ @nbbo2 I'm utilizing the specific value route in the instance for your rationale, it disproves the basis of delta-hedging frequency not directly impacting PnL. And I suggest "expected P&L" as the option top quality (PnL) replicated by delta-hedging a placement which may be calculated by subtracting recognized volatility from implied volatility.
Indicating if $sigma$ alterations since the underlying modifications you could potentially account for that second-buy click here effect with more sensitivities (vanna exclusively), but Individuals results are usually much smaller and might be insignificant according to your objective.
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$begingroup$ Under the assumptions of GBM - namely that periodic returns are independent of one another - then hedging frequency could have 0 effect on the predicted P/L after some time.
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