$ During the "perform case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a bit) WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say in the beginning that $V$ is self-financing? In that circumstance there is not any Charge to finance https://www.youtube.com/watch?v=qMmsQ4kKgY4