$begingroup$ I'm not sure That which you imply by "cross" outcomes - the one correlation is they each are capabilities from the transform in underlying ($Delta S$)
La PNL no aspira a ser ninguna teoría, sino que es un modelo que estudia los factores que influyen en nuestra forma de pensar, de comunicarnos y de comportarnos. Explain el funcionamiento de un sistema.
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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.
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$begingroup$ @nbbo2 I'm applying the precise cost path in the example to get a purpose, it disproves the basis of delta-hedging frequency not directly affecting PnL. And I imply "anticipated P&L" as the option premium (PnL) replicated by delta-hedging a place which can be calculated by subtracting realized volatility from implied volatility.
This means if $sigma$ improvements since the underlying changes you could potentially account for that next-buy result with further sensitivities (vanna specifically), but All those outcomes are usually much scaled-down and may be insignificant depending on your intent.
As stated I don't Believe a single system is a lot more specific, but a technique can be needed or advised by marketplace standards or laws.
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Matt B.Matt B. 22111 silver badge22 bronze badges $endgroup$ five $begingroup$ Many thanks Matt for your reply. Did you know ordinarily the amount of these devices are evaluated each day with regular expense financial institution. $endgroup$
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Valuable truly. So how exactly does a bank use these each day PnL calculations? In any case the costs will swing every day and there'll be both profit or reduction According to the calculation. So, How does a financial institution use these every day PnL calculations? $endgroup$