If you then put in place the portfolio again by borrowing $S_ t_1 $ at price $r$ it is possible to realise a PnL at $t_2$ of WillWill 13344 bronze badges $endgroup$ four $begingroup$ Did you not say originally that $V$ is self-financing? In that circumstance there is not any https://www.youtube.com/watch?v=qMmsQ4kKgY4