Hi, This question looks at working out the change in an option price over a small period of time given the values of the Greeks and some starting parameters. I am confused by the solution which gives that the change caused by gamma is 1/2 * gamma * dS^2 where has the factor of 1/2 come from? I guess it's to with it being a 2nd derivative, but I don't see how this was arrived at. Would ^(1/2) also be valid? Does anyone know? Thanks
