Has anybody proved this delta hedging day pnl = 0.5(realized_volatity - implied_volatility)gamma x S^2 x dt in a spreadsheet.
I reconciled option price change = delta here
I don't know how much correct this is
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delta hedging day pnl
Last edited by Sprinter on April 27th, 2017, 7:46 am, edited 1 time in total.
Re: delta hedging day pnl
What do you mean proved this? One of the classic papers on this topic is "which free lunch would you like today, sir", by Wilmott and Ahmad. Google it.