$ Within the "get the job done circumstance" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation somewhat) I'm especially enthusiastic about how the "cross-outcomes"* concerning delta and gamma are taken care of and would like to see an easy numerical instance if that's probable. https://pnl07529.newsbloger.com/34716010/top-latest-five-pnl-urban-news