However, the gamma PnL is paid to you within the side, not on the option quality, but within the investing actions within the fundamental you execute your hedging account.
Si intentas una manera de abordar un problema y no obtienes los resultados que esperabas, intenta algo diferente, y sigue variando tu comportamiento hasta que consigas la respuesta que estabas buscando.
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He intentado buscar las “evidencias” que respaldan estas presuposiciones, pero solo he encontrado una explicación a cada una de ellas.
How Is that this real although? Delta-hedging frequency has a direct effect on your PnL, and not simply the smoothness of it.
WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say initially that $V$ is self-funding? In that case there's no Expense to finance it and also the PnL is often just $V_T-V_t$ among any two time details. $endgroup$
La PNL parte de la premisa de que las personas tienen dentro de sí mismas los recursos necesarios para realizar cambios positivos. El trabajo del terapeuta o mentor es ayudar a la persona a acceder a estos recursos y utilizarlos de manera efectiva.
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Observe this relies on the regional regulation, therefore exactly the same placement can likely have various Clear P&L if booked in textbooks that are topic to diverse regulators. Thoroughly here clean P&L is utilized for backtesting VaR types for regulatory funds.
At the end of the working day, the EV/Avg(PNL) boils right down to iv vs rv of stock. If Those people two are equivalent, then the EV/PNL will be the exact same for both equally traders regardless of hedging frequency. The one big difference would be the variance of their PNL as explained over.
The net effect of all that is the fact that enhanced delta hedging frequency does just provide the smoothing impact on P/L about extensive enough time horizons. But like you indicate you're exposed to 1-off or uncommon imply reversion (or craze) results, but these dissipate above massive samples.
Let us also contemplate frequent desire charge r and frequent hazard level $lambda$ more than the life of the agreement. $$
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