If you then build the portfolio yet again by borrowing $S_ t_1 $ at level $r$ you may 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 scenario there isn't a Value to finance it https://pnl09641.canariblogs.com/the-single-best-strategy-to-use-for-pnl-48950919