After you then put in place the portfolio once more by borrowing $S_ t_1 $ at price $r$ you can realise a PnL at $t_2$ of WillWill 13344 bronze badges $endgroup$ four $begingroup$ Did you not say to begin with that $V$ is self-funding? In that situation there is no https://www.youtube.com/watch?v=qMmsQ4kKgY4