About any longer length of time, There may be not often a statistically substantial autocorrelation in superior frequency returns. If there was, then the above would be relevant which might dampen the result.
$begingroup$ For an alternative with rate $C$, the P$&$L, with respect to modifications from the underlying asset rate $S$ and volatility $sigma$, is supplied by
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The sensitivities process [2] requires initial calculating choice sensitivities referred to as the Greeks due to the typical observe of symbolizing the sensitivities employing Greek letters.
$begingroup$ I'm unsure Everything you necessarily mean by "cross" outcomes - the only correlation is that they both equally are functions with the improve in fundamental ($Delta S$)
I want to determine the netPnL, realizedPnl and unrealizedPnl by using the most exact valuation variety. I only know 3 valuation varieties
$begingroup$ Should you completely hedge (infinitesimal moves), theta will offset gamma but if you do periodic hedges for finite moves, you would've gamma slippage and afterwards you end up within a distribution of Pnl all around zero.
BongoBobBongoBob 2111 silver badge44 bronze badges $endgroup$ one $begingroup$ That could be much too prolonged for the parametric technique to estimate pnl. won't be able to you reprice your cds with present day interest amount curve and cds spreads? $endgroup$
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InnocentRInnocentR 72211 gold badge66 silver badges1818 bronze badges $endgroup$ 1 $begingroup$ Should you had been to delta hedge continuously and on a costless foundation, then your payoff at expiry would match that of the vanilla selection.
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