$begingroup$ I am unsure what you imply by "cross" consequences - the one correlation is they both are features from the modify in underlying ($Delta S$)
$begingroup$ The pnl calculation is done in two measures. By definition, you value your portfolio as of today, you worth your portfolio as of yesterday, and the primary difference are going to be your pnl.
But you would like to consider the issue in A much bigger photo feeling. How would hedging frequency have an impact on the outcome around A huge number of simulations?
When there is autocorrelation within the intraday return process that you select to hedge at (that will consequently have an affect on every day annualised volatility), then your P/L is without a doubt impacted by your selection of hedging interval.
Depreciation = worth at first of the year (opening equilibrium) + buys during the calendar year − worth at the end of the year (closing balance)
La PNL parte de la premisa de que las personas tienen dentro de sí mismas los recursos necesarios para realizar cambios positivos. El trabajo del terapeuta o mentor es ayudar a la persona a acceder a estos recursos y utilizarlos de manera efectiva.
La agudeza sensorial se refiere a la capacidad de observar o detectar pequeños detalles para ser conscientes de lo que ocurre a nuestro alrededor.
Let's also think about continual interest price r and consistent hazard rate $lambda$ in excess of the life of the deal. $$
Partimos de la premisa que no se puede no comunicar. La comunicación que mantenemos con nuestro entorno es constante, siempre estamos comunicando y las palabras son, muchas veces, la parte menos importante del acto comunicativo.
Even so, the existence of considerable autocorrelation inside the return procedure would trace that we will be able to trade working with futures/linear solutions on the intraday horizon which would in all probability (immediately after accounting for liquidity and theta) confirm a lot more lucrative to trade than the delta hedging system.
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Visualize this trade is usually a CFD or a forex with USDEUR. I utilize a leverage of 50 for buy. How should I consist of this leverage inside my PnL calculations?