$ Inside the "perform situation" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation somewhat) I am notably thinking about how the "cross-outcomes"* amongst delta and gamma are handled and would love to see a simple numerical illustration if that's possible. Thanks upfront! Ie: https://marioioswa.glifeblog.com/33041938/everything-about-pnl