$ In the "function scenario" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a bit) $begingroup$ In case you examine just just one example, it could look like the frequency of hedging immediately results the EV/Avg(Pnl), like in the problem you described exactly https://waylonlewej.bloggerchest.com/34048366/not-known-details-about-pnl