I am able to get good approximations for delta, gamma, and rho via finite difference method, but not theta. I believe my issue is the value of h. Theta is basically the difference between the price of the the option one time step in the future and the price today divided by the size of the time step, ie
theta (approx) = V(d_v+1) - V(d_v)/(1/365), where V(d_v+1) is the value of the option one time step (1/365) into the future
This basically comes from http://docs.fincad.com/support/developerfunc/mathref/greeks.htm
If I apply this to, for example, the call option quote on 04/18/2013 for ticker A (Agilent, I believe), strike of 40, underlying price of 41.83, expiry of 05/18/2013 (30/365 days to maturity), 1.1% Dividend Yield, 0.3% risk-free rate, I get a theta of -8.9, whereas the actual theta is approximated by a large options data reporting firm as approx -2.2. My other Greek approximations are close enough, but I cannot get a good approximation for theta. Anybody have insight into this issue? Thanks in advance for your help!