$ Now you say $V_t$ will be the risky asset. Pretty confusing. Edit the submit to help make this crystal clear. We can consider precisely what is a PnL at the time we understand what We've got invested in. $endgroup$ Vega and Theta are sensetivities to volatility and time, respectively, https://dallaskpswa.blogdemls.com/34010426/the-pnl-diaries