$ Inside the "perform case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little) $begingroup$ For a choice with rate $C$, the P$&$L, with regard to adjustments of the underlying asset price tag $S$ and volatility $sigma$, is specified by The above https://pnl87764.post-blogs.com/54999226/not-known-details-about-pnl