5 Simple Techniques For pnl
$ Within the "operate circumstance" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a tad)Vega and Theta are sensetivities to volatility and time, respectively, so their contribution can be:Now, in the above clarification, we assumed the stock was undertaking on some consistent vol at all times in time. Wha