And this relies on the rebalancing frequency. But "envisioned P&L" refers to an average more than all achievable price tag paths. So You can find not essentially a contradiction here. $endgroup$To help make The 2 solutions comparable you need to think about investing/borrowing $PnL_1$ at amount $r$ to make sure that it stays in the procedure until

That isn't the same as the pnl equalling the price compensated, instead the envisioned pnl with the approach can be the same as the option benefit. $endgroup$Ie: If we know the stock will almost certainly shut close to the opening selling price as it usually performs with a one vol, and its noon and the stock is down -10%, we realize that it must g