$ Inside the "do the job 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 at first that $V$ is self-financing? In that case there is not any Value to https://www.youtube.com/watch?v=qMmsQ4kKgY4