P&L of Delta Hedging strategy

[wannabemfe]

Hello. Is anyone here willing to help me figure out how to calculate the Total Hedging P&L of a delta-hedging strategy. It's for an assignment (Coursera FE&RM course)

 

[Yike Lu]

At each time point, compute the delta hedge. Execute the delta hedge. Mark all delta hedges to the final underlying price. Sum up PNL.

 

[wannabemfe]

Got it. Thanks.