I should really possibly point out that I didn't say which process is appropriate. Just planned to give the reason why They're diverse.
$begingroup$ Should you examine just a single instance, it may well seem like the frequency of hedging directly consequences the EV/Avg(Pnl), like in the situation you explained exactly where hedging each individual moment proved to generally be far more profitable.
Or will it truly not subject? I signify each can return unique values so I must check with which worth is more correct. $endgroup$
Once you then arrange the portfolio once again by borrowing $S_ t_1 $ at rate $r$ you are able to realise a PnL at $t_2$ of
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Aunque la PNL no está exenta de críticas, su enfoque centrado en la experiencia subjetiva y su énfasis en la flexibilidad y la adaptabilidad la convierten en una herramienta valiosa para aquellos que buscan mejorar su calidad de vida y alcanzar sus objetivos.
The above mentioned difference I fairly see as follows: whenever we re-devote/re-borrow at $t_1$ for making both strategies concur we make the "do the job case" self-financing. In distinction, your company opts to Allow intermediate gains/losses drop out. There may very well be reasons for this. Perhaps it really is a way to estimate taxes? I do not know. $endgroup$
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I here discovered a serious slip-up within a paper written by my professor's past student. To whom must I report my conclusions?
– Will Commented Nov 24, 2024 at 22:15 $begingroup$ I'm not an accountant but I believe that these inquiries have much more to carry out with conventions and getting dependable in order to convey to if, say, previous calendar year's PnL was much better or worse than this year's. There might be no scientific method to derive a "proper" strategy.
$begingroup$ In the event you perfectly hedge (infinitesimal moves), theta will offset gamma but when you need to do periodic hedges for finite moves, you would've gamma slippage then you find yourself within a distribution of Pnl all over zero.
Este principio enfatiza la importancia de la flexibilidad. Si una estrategia o enfoque no está dando los resultados deseados, la PNL sugiere probar algo diferente en lugar de persistir en la misma dirección.
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