Errata for

"Option Valuation under Stochastic Volatility"

Last Edit: October 23, 2003

Page number


37 In Table 2.1, the Money market payoff requires Im k = 0.
The correct relation between G(S,V,K,tau) and p(S,V,K,tau) is
G = exp(-r tau) p, not G = p. 
"conditions" for the square root model are correctly given p.234 bottom right.
In Table 4.1, the implied volatility entry for Strike = 90, rho = -.50 should equal 16.22.
In Table 4.2, rho=-0.5 and all other parameters are the same as Table 4.1. In every panel, for days=60,125,250 the whole integer part of the option price should be 2,4, and 5 respectively instead of 3,5, and 7.
In eqn. (3.6), the X/Z term should be X/Z^2 (Previous errata regarding p.143,162 retracted).
The solution in (A1.5) is not unique when, for example, a(x)=x^phi
and phi>1. In those cases there is another solution for  <V>.  This correction also applies to similar remarks at the bottom of p.62 and the second paragraph on p.205.
In Table 5A.1 (first 2 rows): integrands should end with dW(s) not ds. In addition, the second integral should equal (1/3)W^3 - tau W.
283 In Theorem 9.2, "cannot not" should read "cannot".
301 In the second paragraph, the argument of H should be k=i.
303 In Table 9.7, the last column (Monte Carlo std. error) , should read 0.0010, 0.0011, etc.
In eqs. (8.6),(8.7),(8.21),(8.23), and just above (8.23):
the terms Gamma(nu, A/nu^2) for various expressions A should read
Gamma(nu, A nu^2) in all cases. 
In the sentence that begins "Since the integral is multiplied by ...",
the phrase (1-phi)^2=nu^2/4 should read (1-phi)^2=1/(4 nu^2).