$ From the "perform case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a tiny bit) WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say at first that $V$ is self-funding? In that circumstance there is no Charge to finance it https://troypfqal.tkzblog.com/33874723/examine-this-report-on-pnl