$ From the "function situation" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation somewhat) $begingroup$ For a possibility with price $C$, the P$&$L, with respect to alterations of your underlying asset selling price $S$ and volatility $sigma$, is given by As an example, a https://pnl99642.azzablog.com/34252238/the-greatest-guide-to-pnl