Around any more time period, There is certainly rarely a statistically significant autocorrelation in significant frequency returns. If there was, then the above could well be applicable which would dampen the influence.
$begingroup$ Assuming that you are working for just a bank, you will find three different P&Ls depending on the perform/ usage:
You may also analyse the skewness and kurtosis from the time period PnL by using third and 4th moments of $Y_t$ respectively. Presumably you might conclude that for two series with identical expectation and variance, you may like the one with positive skew or decrease kurtosis, but probably not based on the self-confidence of the market watch, and many others..
But you would like to think about the concern in A much bigger photograph sense. How would hedging frequency influence the final results over Countless simulations?
Vega p/l is by definition the p/l because of moves in implied volatility. The 2nd Section of the query you have got answered oneself. Small dated selections have far more gamma exposure, prolonged dated choices have extra vega exposure.
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Traders and analysts can use this information and facts to evaluate the profitability of the corporation, often combining this information and facts with insights from one other two monetary statements.
The balance sheet is often presented as of the final working day of the corporation’s fiscal year. Traders utilize the balance sheet to comprehend the economic power of the organization, comparing the quantity and excellent of its belongings in opposition to its liabilities.
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Genuine P&L calculated by Finance/ Product Management and relies on the actual cost of the instrument on the market (or even the corresponding design if a market place will not exist). This reflects the accurate more info P&L In the event the place is shut at industry prices.
As it is the pnl with the hedge that offsets the option quality. Please disregard dissimilarities on account of periodic vs continuous for this dilemma. $endgroup$
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