It's also possible to analyse the skewness and kurtosis of your period of time PnL by having 3rd and 4th moments of $Y_t$ respectively. Presumably you are going to conclude that for 2 collection with similar expectation and variance, you'll favor the one with optimistic skew or reduce kurtosis, but maybe not based on the self-assurance of the industry watch, and so on..

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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?

Cuando empiezas a saber cuáles son tus resultados y utilizas tu agudeza sensorial para observar lo que está sucediendo, la información que obtienes te permite realizar ajustes en tu comportamiento, si es necesario.

$begingroup$ The theta PnL here is the option cost paid (for the time-price of the choice); it is just a greek word for it with an extra characteristic displaying how the option premium continously declines Using the passage of time.

$begingroup$ @nbbo2 I'm applying the precise rate route in the instance to get a cause, it disproves The idea of delta-hedging frequency not directly affecting PnL. And I imply "anticipated P&L" as the option high quality (PnL) replicated by delta-hedging a situation that may be calculated by subtracting understood volatility from implied volatility.

So How can delta-hedging frequency just have an affect on the smoothness and variance of PnL if we can easily Plainly see it influences PnL itself in this example?

Vega p/l is by definition the p/l as a consequence of moves in implied volatility. The 2nd Section of the query you have answered on your own. Quick dated choices have additional gamma exposure, extensive dated options have far more vega publicity.

Be aware: I understand in the event you hedge discretely instead of continuously there'll be described as a hedging error, but make sure you ignore this mistake for the goal of this concern.

– Will Commented Nov 24, 2024 at 22:fifteen $begingroup$ I'm not an accountant but I think that these issues have much more to try and do with conventions and becoming dependable to be able to convey to if, say, previous year's PnL was greater or worse than this yr's. There is most likely no scientific approach to derive a "suitable" technique.

– equanimity Commented Oct seven, 2021 at one:07 $begingroup$ The get issues only for the cumulatuve brute-force P&L. The order does not make a difference for independent brute-drive P&L or for hazard-theoretical P&L (Taylor sereis approximation with the P&L employing deltas - very first order and gammas and cross-gammas - next purchase threat measures). I feel you are asking about RTPL? $endgroup$

one $begingroup$ @KaiSqDist: that would be An additional issue. The approximation Here's related to the realized volatility. $endgroup$

The implied volatility surface area and the option Greeks - to what extent is the data contained of their every day movements the exact same? four

In many scenarios (like bonds in the case) these costs are noticed and unambiguous, This is often 'marking to current market'; in other situations (where you may keep an illiquid unique, just like a read more PRDC for instance) this price is believed with the Front Business pricer, This is certainly 'marking to design'.