$ While in the "perform circumstance" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little bit) WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say in the beginning that $V$ is self-funding? In that situation there isn't any cost to https://pnl00753.bloggerchest.com/34006153/the-greatest-guide-to-pnl