This derivative (d Gamma)/(d S) is normally called Speed.

Jimmy is perfectly right. I implicitly assumed that the auto-correlation is neglible!

<t>Question 3: Indeed use the forward start vola. You need the implied vol of the option expiring at the future start date and the implied vol of the option expiring at the of the time interval. This is treated in chapter 9 of Taleb (Dynamic Hedging). It is actually quite simple. You use the fact th...

Derekz,Could you post the C code to the forum?Thanks in advance!

If dividends are not too high call/put parity gives a reasonable approximation

But keep in mind that it is not as straightforward as Delta hedging. Whereas there is only one underlying value, the volatility has in general a skew- and a time-structure....

It is indeed important to distinguish between the variance of the distribution and the variance of the MC simulation.

Why don't you use Historical Data in your MC generation?