HELPING THE OTHERS REALIZE THE ADVANTAGES OF PNL

$ While in the "function scenario" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little bit)Vega and Theta are sensetivities to volatility and time, respectively, so their contribution can be:Now, in the above rationalization, we assumed the inventory was doing on some constant vol at all times in time.