Delta Hedging P&L under Variance Gamma Calculator

Compute delta hedging P&L distribution when the true process is Variance Gamma but the hedger uses Black-Scholes delta. Residual P&L arises from jumps and non-Gaussian returns

Each component has a specific meaning:

• Jumps — The jumps recorded for the scenario being assessed.
• Non-Gaussian returns — The non-gaussian returns recorded for the scenario being assessed.

Note: Interpret the delta hedge p&l vg result against the thresholds and context described above.

Enter the jumps, non-Gaussian returns for the scenario you are assessing. Compute delta hedging P&L distribution when the true process is Variance Gamma but the hedger uses Black-Scholes delta. Residual P&L arises from jumps and non-Gaussian returns. Use the delta hedge p&l vg result to inform your calculation.