$ While in the "work situation" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation somewhat) $begingroup$ For an alternative with price $C$, the P$&$L, with respect to alterations from the underlying asset price tag $S$ and volatility $sigma$, is specified by The above https://www.youtube.com/watch?v=qMmsQ4kKgY4