Let's look at a stock with a mean reverting price dynamics:
$$dS_t = a(S-S_0)dt + \sigma dW_t$$
If we let $\sigma=0.25$ and $a=-0.5$ then the variance of this process is: $$Var(S_t) = 0.199\sim0.2$$
The Calendar-Spread-Inequality compares the prices of two European Call Options on the same underlying non-dividend-paying stock, but with different maturities $T_1<T_2$. Denote the value of a call ...
In this paper paper page 16-19 by Davis
and this discussion
derivation of the hedging error in a black scholes setup,
the derivation of the delta hedging error in the Black Scholes model is discussed.