$ While in the "function case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a tad)
A través de la PNL descubrimos la estructura que sostiene la conducta propia y la del otro. Por lo tanto, investiga cómo nos comunicamos con nosotros mismos y con la gente de nuestro alrededor.
La PNL nos ayuda a entender cómo las personas interpretamos y filtramos la información que percibimos a través de los cinco sentidos.Sin embargo, son muchas las dudas que nos surgen si no conocemos esta práctica: ¿qué es la PNL?
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Hence the thought in this article is always that a trader who delta-hedges each moment, as well as a trader who hedges every conclude of working day at industry close, will the two contain the similar expected gain at selection expiry and only their PnL smoothness/variance will vary. Let's set this for the exam.
How is this true nevertheless? Delta-hedging frequency contains a direct effect on your PnL, and not just the smoothness of it.
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$begingroup$ The knowledge I have found about delta hedging frequency and (gamma) PnL on This great site and diverse Many others all reiterate a similar issue: that the frequency at which you delta-hedge only has an impact on the smoothness and variance of the PnL.
Nonetheless, the existence of considerable autocorrelation within the return procedure would trace that we can easily trade employing futures/linear merchandise on the intraday horizon which would probably (immediately after accounting for liquidity and theta) establish a lot more lucrative to trade than the delta hedging system.
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La PNL utiliza las submodalidades para cambiar la forma en que una persona experimenta un recuerdo o una emoción. Por ejemplo, si alguien tiene un recuerdo traumático, se puede trabajar con las submodalidades para reducir la intensidad emocional asociada con ese recuerdo.
The implied volatility surface and the option Greeks - to what extent is the knowledge contained inside their daily movements precisely the same? four
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