$ From the "function scenario" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a little bit) WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say to begin with that $V$ is self-financing? In that circumstance there is absolutely no Expense to finance https://pnl76329.blogchaat.com/34156184/the-best-side-of-pnl