$ Now you say $V_t$ is the dangerous asset. Pretty complicated. Edit the write-up to help make this crystal very clear. We could think about what on earth is a PnL once we really know what We have now invested in. $endgroup$
Trader A has created some hefty PnL, In the meantime Trader B comes out with absolutely nothing in the slightest degree and his missed out on volatility over the investing working day which he could've profited off of had he been consistently hedging in place of just when per day.
As well as the incremental PnL of an extended system amongst $t$ and $t+delta t$ is calculated as the profit produced by borrowing The cash to buy the dangerous assets at $t$, then advertising out your situation at $t+delta t$. So in my instance:
When there is autocorrelation inside the intraday return approach that you choose to hedge at (that may subsequently have an impact on daily annualised volatility), then your P/L is undoubtedly impacted by your selection of hedging interval.
ExIRExIR 16711 bronze badge $endgroup$ 1 $begingroup$ Thanks for serving to, but does that suggest theta pnl only partly offsets Gamma pnl and never absolutely even though implied vol = understood vol? Since assuming desire prices are zero, there is not any other source of earning funds. $endgroup$
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$begingroup$ Why does Gamma Pnl have click here exposure to realised volatility, but Vega Pnl only has publicity to implied volatility? I am baffled regarding why gamma pnl is influenced (far more) by IV and why vega pnl isnt afflicted (more) by RV?
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$begingroup$ The knowledge I have found about delta hedging frequency and (gamma) PnL on this site and various Other folks all reiterate the identical matter: the frequency at which you delta-hedge only has an effect on the smoothness and variance within your PnL.
He intentado buscar las “evidencias” que respaldan estas presuposiciones, pero solo he encontrado una explicación a cada una de ellas.
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The implied volatility surface and the option Greeks - to what extent is the information contained within their each day actions the same? 4
I discovered a significant error inside of a paper composed by my professor's prior university student. To whom need to I report my findings?