Any time you then build the portfolio all over again by borrowing $S_ t_1 $ at level $r$ you can realise a PnL at $t_2$ of WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say at first that $V$ is self-funding? In that scenario there's no Price to https://www.youtube.com/watch?v=qMmsQ4kKgY4