Assume that S=$40, alpha=30%, r=8%, and delta=0
Consider a 40-strike 180-day call with S=$40. Compute a delta-gamma-theta approximation for the value of the call after 1, 5, and 25 days. For each day, consider stock prices of $36 to $44 in $0.25 increments and compare the actual option premium at each stock price with the predicted premium. Where are the two the same?