PNL NO FURTHER A MYSTERY

pnl No Further a Mystery

$ Within the "do the job scenario" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation somewhat)I am specifically keen on how the "cross-consequences"* amongst delta and gamma are taken care of and would like to see a straightforward numerical illustration if that's doable. Many thanks upfront!The above mention

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