HOW MUCH YOU NEED TO EXPECT YOU'LL PAY FOR A GOOD PNL

Which relies on the rebalancing frequency. But "expected P&L" refers to an average above all attainable price tag paths. So You can find not essentially a contradiction here. $endgroup$To produce The 2 solutions equivalent you should visualize investing/borrowing $PnL_1$ at level $r$ so that it stays in the system till $t_2,.$ At that time yourPeop