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PnL of a delta hedged option

gver

Joined
5/12/12
Messages
63
Points
18
Hi, is there a detailed document analysing the pnl of a delta hedged option. I am trying to understand the variation in the pnl with a variation in hedged volatility. Went through the paper from wilmott and it talks about implied and realised case with a cursory mathematical explanation. Is there a paper or a book that gives a rigorous/thorough treatment to this subject.
 
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