Got worried when I saw the Gaussian approximation but I’m glad to see the author’s evaluation.
> Despite the fact that the Gaussian distribution is widely used in fianacial models, it has some well known pitfalls, namely its inability to encompass fat tails observed in historical market data. As a result it will fail accurately describe extreme volatilty events, which can lead to possibly underpriced options.
Given that he is looking at one stock over a period of 6 months where AFAIK nothing particularly unusual happened, I highly doubt any "extreme volatility events" were relevant.
> Despite the fact that the Gaussian distribution is widely used in fianacial models, it has some well known pitfalls, namely its inability to encompass fat tails observed in historical market data. As a result it will fail accurately describe extreme volatilty events, which can lead to possibly underpriced options.