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Think of this in terms of Taylor series. Let's say the option price today is $C\left(S,t\right)$ where S is the underlying price and t time. Let's say the underlying price changes by $\Delta S$ in a time interval $\Delta t$, so your P/L will be: $\mathrm{P/L}=C\left(S+\Delta S,t+\Delta t\right)-C\left(S,t\right) $ Use Taylor series to first order in t and ...


1

While it is of course possible to apply standard definitions of returns, one needs to bear in mind that a long/short portfolio may end up having a net negative value. Thus: i) You cannot use continuously compounded returns. Starting out with a positive portfolio value, continuously compounded returns can never take you to a negative portfolio value whatever ...


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What seems to be your problem? Which calculations do you do that will not give you a decent answer? Your portfolio value is NAV = 98.87 and the next day it is: NAV=98,57. $$ r=\frac{NAV_1-NAV_0}{NAV_0}=\frac{98.87-98.57}{98.57} = -0.0030=-0,30\% $$ Also, be aware that you weights are not $1$ and $0.5816$ anymore but $$ w_{ABC}= 97.79/98.57 $$ $$ w_{XYZ}...


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