Options, Futures, and
Other Derivatives, Sixth Edition
The following typos
and other errors are in the first printings of the book and the Solutions
Manual. We have tried to correct them in subsequent printings and so they may
not be present in the copy you have.
Errata in Book:
Page 4: Delete $ sign on last line. (This was kindly
pointed out by Fred Wayman)
Page 8: In the first line of the title to Figure
1.3 delete “per share” (This was kindly pointed out by Justin Schmidt)
Page 9: Business Snapshot 1.1: In third line from end
change “overvalued” to “undervalued”. In second line from end change
“undervalued” to “overvalued”. (This was kindly pointed out by Carl Stumpf)
Page
13, line 9: should read: ..with a
strike price of $22.50 gives a payoff of $4.50, because it… (This was kindly
pointed out by Franck Bouabre)
Page 18: Problem 1.23. Insert minus
sign between 1,000 and max in the expression given for the amount received when
the exchange rate is less than 169
Page 49: line 17: Change “suppose that the
futures price is 105 cents” to “suppose that the price is 105 cents” (This was
kindly pointed out by Panos Xidonas)
Page 53: Last line of first paragraph
in section headed “The Basis” should read: negative for some assets (e.g. gold)
and positive for others (e.g., Brent crudeoil). (This was kindly pointed out by
David Upham)
Page 65: Six lines from bottom: A=25,000 should read A=250,000.
(This was kindly pointed out by David Langevin)
Page 86: Business Snapshot 4.2, second paragraph:
Insert “to” in two places: ..similar to the one.. and …contributor to
Page 97: Problem 4.19: Change “lower that” to “lower
than”. (This was kindly pointed out by Panagiotis
Varlagas)
Page
106: Table 5.3, right column, line 3:
change $39.40 to $39.60. (This was kindly pointed out by Omar Alshihabi)
Page 121: 13 lines from bottom: change …contract has
positive systematic… to …contract has negative systematic… (this was kindly
pointed out by Cyril Tikhomiroff)
Page 130: Business Snapshot 6.1: 2002
should be 2005 in two places. (This was kindly pointed out by Panagiotis Varlagas)
Page 131: line 13: P is the quoted price and Y is the cash price, not vice versa
(This was kindly pointed out by Frank Schuhmacher.)
Page
140: Example 6.4: Change t1 and t2 to T1
and T2 on second and third lines. (This was kindly
pointed out by Emilio Barone)
Page
161: Example 7.1; In the equation e2R should be e-2R (This was kindly pointed out by
Philip Lew)
Page
170: Example 7.5, line 12: Change to r = 0.09 and and rf = 0.04 (This was kindly pointed out by Xu Yin)
Page
174: 8 lines from bottom: “with both
principals being” should be “with both rates being” (This was kindly pointed
out by Philip Lew)
Page
213:Table 9.2: Second column: Last
Section: “..sell stock for $3” should be “…sell stock for $30” (This
was kindly pointed out by Philip Lew)
Page
219: Change “in the Appendix to
Chapter 13” to “in Section 13.12”. (This
was kindly pointed out by Emilio Barone)
Page 220: Stoll reference should be Journal of Finance, 24 (Dec 1969),
801-24. (This was kindly pointed out by David Langevin)
Page 232: The dashed lines in Figure 10.7 should be
changed so that they show put payoffs. (This was kindly pointed out by Numa
Lescot)
Page 237 : Line 7 of summary: Change “put (call)” to
“call (put)” (This was kindly pointed
out by Numa Lescot)
Page 253: Last line: Change “matching u and d” to “matching volatility”. (This
was kindly pointed out by Emilio Barone)
Page
285: Last line: Change E(R)
to E(x). (This was kindly pointed out by Pierre Chuong)
Page
287: Return on the second day should
be -0.01 not 0.01. All other numbers are Ok. (This was kindly pointed out by
Haibo Jiang)
Page 315: Third equation from bottom: Insert S before e(r-q)Dt (This was kindly pointed out by Vassilis Skylogiannis)
Page
362: The left hand sides of the first
three equations should be: rho, rho (call), and rho (put), respectively. (This
was kindly pointed out by Harsh Baxi)
Page 379: 5 lines from bottom; change
stock price distribution to exchange rate distribution (This was kindly pointed
out by Peter Hendricks)
Page 403: In the footnote, “12.13”
should be “13.12”. (This was kindly pointed out by Jacques Theys)
Page 408: Line 3/4 of trinomial trees section: change “a non-dividend-paying
stock” to “an asset paying dividends at
rate q” (This was kindly pointed out by Wu Cheng-wei)
Page 466: 3 lines from end of second 19.3 change “when VL <
V it has a positive drift.” to “when V < VL it has a positive
drift.” (This was kindly pointed out by Izani bin Ibrahim)
Page 483: In equation (20.1) a minus
sign is missing in the exponent. The right hand side should be 
. (This was kindly pointed out by Keerthik Sasidharan)
Page 487: In second column of Table 20.4
change 2.47 to 2.40 and 7.69 to 7.49. (This
was kindly pointed out by Emilio Barone)
Page
489: Footnote 8: second to last line:
change 46 to 47 (This was kindly pointed out by Emilio Barone)
Page
502: Last line before Summary: Change
BBB to Baa (This was kindly pointed out by Emilio Barone)
Page
505: Problem 20.24: V=B−B* should be V=B*−B (This was kindly pointed out by Shawn
Lin)
Page
505: Problem 20.25: Insert a minus
sign before ln[N(d2)… (This was kindly pointed out by Emilio Barone)
Page
510: 3 lines from bottom of Section
21.2. Delete “million”. (This was kindly pointed out by Malcolm Binns)
Page
519: Two lines under equation (21.1):
Replace “Denote the probability of more
than k defaults by time T
as” by “Denote the probability of
at least k defaults by time T as”
Page
519: In footnote 7 Change Vauation to
Valuation and 823 to 8-23. (This was kindly pointed out by Emilio Barone)
Page
520: First equation should be:
(This was kindly
pointed out by Patrick Jia)
Page 523: Replace F by E on lines 5
and 6. (This was kindly pointed out by Strong Yang)
Page 526: Problem 21.22: In (b)
delete “when the factor value” (This was
kindly pointed out by Emilio Barone)
Page 548: In Problem 22.28 replace
“Appendix 19A” by “the appendix”
Page 562: Line 21; Change “Figure
15.4” to “Figure 16.4” (This was kindly
pointed out by Emilio Barone)
Page 565: In step 2 replace “..we sample a value for..” by
“…we sample a value, z, for…”. In the first equation in step 3 replace qg by z. (This was kindly pointed out by Taras Smetaniouk.)
Page 575: Six lines from the bottom
the equation for pm should
be 
not 
Page 608: Equation numbered 25.4
should be numbered 25A.4.
Page 608: Change 
to
in third term on right hand side of equation 25A.5 (This was
kindly pointed out by Sébastien Forté.)
Page 612: 11 lines from bottom should read: 1.
Assuming ln VT is normal
with standard deviation 
and E(VT)=F0 (This was kindly pointed out by Konstantin Vogl.)
Page 642: In second and third
equations replace r by rVW (This was kindly pointed out by Emilio Barone)
Page
645: Last line of Problem 27.1: 5
years should be 6 years. (This was kindly pointed out by Lihe Yang)
Page
666: 7th line: left hand
side of equation should read: 
not 
(This was kindly
pointed out by Lihe Yang)
Page 675: Problem 28.8 should refer to Problem 28.7 not
Problem 23.7. Problem 28.10 should refer to Problem 28.9 not Problem 23.9.
Page 683: lines 3 and 5: D should be d. (This was kindly pointed out
by Rico von Wyss)
Page 690: Equation (29.20): Replace ai,q2 by aj,q2 (This was kindly pointed out
by Henryk Guttman)
Page 696: Replace LMM by HJM in two
places in each of Problems 29.3 and 29.4. Replace BGM by HJM in Problem 29.5.
Page 707: line 15: delete the first
option so that it reads “… regular swap plus.. (This was kindly pointed out by
Darren Sellers)
Page 715: Line 8: Change m to mi
and and m-ls to mi-lisi
Errata in Solutions Manual
Page 23: Problem 4.11: Minus signs
are missing from the exponents on the left hand side of the equation. (This was
kindly pointed out by Panagiotis
Varlagas).
Page
23: Problem 4.13: line 6: 3.05365
should be 3.5365. (This was kindly pointed out by Emilio Barone)
Page 35: Problem 6.9: Change 2003 to 2005 in four
places. (This was kindly pointed out by
Emilio Barone)
Page
37: Problem 6.14: Line 7: Change
3.0254% to 4.0507%. (This was kindly pointed out by Emilio Barone)
Page
39: Problem 6.21: Line 6: Change “4ln(1+.04867/4)=4.84%”
to “(365/90)ln(1+0.048/4)=4.84%” (This was kindly pointed out by Ronnie Barnes)
Page
60: 2nd equation on 4th
line: ≥ should be ≤ (This
was kindly pointed out by Philip Lew)
Page
127: Problem 17.2 Numerator of
expression for p should be a-d
not a-u. (This was kindly pointed out by Zhendong Wan)
Page
140: The answer to Problem 17.22
should be modified to indicate that NORMSINV(
Page
146: Problem 18.11: line 6: 0.056%
should be 0.56%. (This was kindly pointed out by Roger Tristan)
Page
153: Problem 20.2: In equation change
0.86 to 0.0086 and 0.71 to 0.0071. (This was kindly pointed out by Emilio
Barone)
Page
159: Problem 20.25: Last
equation: Expression for s should have a minus sign in front of
it. (This was kindly pointed out by Emilio Barone)
Page
184: Problem 24.17: first line Change
H1>H2 to H1<H2. (This was kindly pointed
out by Emilio Barone)
Page
200: Last line should read 
(This was kindly
pointed out by Lihe Yang)
Page
201: Last equation in Problem 27.5
should read: 
(This was kindly pointed out by Lihe Yang)
Page
213: Problem 29.4: Remove 4 on first
line (This was kindly pointed out by Emilio Barone)
Page
219: Problem 31.3: Line 7: Reference
should be to Section 31.5 not Section 28.5 (This was kindly pointed out by
Emilio Barone)
Page
220: On line 5 change Chapter 3 to
Chapter 5; on line 12 change Section 28.2 to Section 31.2; on line 18 change Problem 31.6 to Problem 31.5 (This was kindly pointed out by Emilio Barone)