Options, Futures, and
Other Derivatives, Seventh Edition
The following typos
and other errors are in the first printings of the seventh edition of Options,
Futures and Other Derivatives and its Solutions Manual. We have tried to correct
them in subsequent printings and so they may not be present in the copy you
have. (If you have the International edition of the book click here for
errata)
Errata in Book:
Page 58: In last equation change
83,550 to 83,580 and 36.22 to 36.12. (This was kindly pointed out by Jean Wills)
Page 146:
Problem 6.25, part d. Problem should state that the delivery date is
June 25.
Page 286: Line 10, Replace
“40×0.10=$4” by “0.4×0.1=$0.04”. On line 11 replace “100×0.04=$4” by “$0.04”.
(This was kindly pointed out by Emilio Barone.)
Page 301: Lines 11-12, “Example 13.8”
should be “Example 13.9.” (This was kindly pointed out by Emil Gerhardt)
Page 316: Last line of Example 14.1
should read: “as $6.31. Hence, the income statement expense is 1,000,000×6.31
or $6,310,000.” (This was kindly pointed out by Donghui Zhang.)
Page 317: Last line before figure. Replace “beginning” with
“end”
Page 323: Problem 14.16, line 5:
Replace “beginning” with “end”
Page 333: Last equation: Replace F by F0
in two places. (This was kindly pointed
out by Emilio Barone.)
Page 334: Fifth line after equation
(15.10): Replace “forward rates” with “forward prices” (This was kindly pointed
out by Emilio Barone.)
Page 349: Two lines before Section
16.7.
Replace “11.13” with “11.3” (This was kindly pointed out by Emilio
Barone.)
Page 352: Line 6. Replace “forward
rates” with “forward prices” in two places. (This was kindly pointed out by
Emilio Barone.)
Page 363: Example 17.1. Change 0.3836
to 0.3846 in denominator of formula. (This was kindly pointed out by Emilio
Barone.)
Page 405: 8 lines from end: Replace
“a one-year option..” with “a three-month option…”
Page 406: Three lines from end,
replace 0.0022 by 0.0031. Last line, replace 0.0141 by 0.0167. (This was kindly
pointed out by Emilio Barone.)
Page 499: Caption for Table 22.2:
Replace “1982-2003” with “1982-2006”
Page 503: 7 lines above table: replace
5.289% with 5.298%. (This was kindly pointed out by Emilio Barone.)
Page 504: Second paragraph, third
line: replace “16.8” by “16.7”. Fourth line: replace “38 basis points” by “34
basis points” (This was kindly pointed out by Emilio Barone.)
Page 506: In equation for d1 under equation (22.3)
change “ln V0/D” to “ln(V0/D)”
Page 518: Six lines from end, replace
91.84% by 91.48%. (This was kindly pointed out by Emilio Barone.)
Page 545: 5 lines from the end of
Example 23.2 replace “A=0.1496, B=4.2846, and C=0.0187” with “A=4.2846,
B=0.0187, and C=0.1496” (This was kindly pointed out by A. D. Miller.)
Page 546:The titles to the third,
fourth, and fifth segments of the table should read “PV expected payoff, C(Fk)”,
“PV expected payment, A(Fk)”, and “PV expected
accrual payment, B(Fk)”, respectively. Also, in
the second line of the fourth segment of the table 0.2457 should be replaced by
0.2478 in 4 places. (This was kindly
pointed out by Emilio Barone.)
Page 569: In Example 24.3 replace
“pay” by “receive” on the first line and “receive” by “pay” on the second line.
In last equation before equation (24.7) replace 
by 
in one place. In last equation replace RT by rT
in one place. (These were kindly pointed out by Emilio Barone.)
Page 569: In Example 24.3, line 10:
replace “DKi=0.5” with “DKi=50” (This was kindly pointed out by Nelson Arruda)
Page 570: Equation 24.8. Replace RT by rT in one place. (This was kindly pointed out by Emilio Barone.)
Page 619: In equation on line 5 change
to VT.
Page 634: After equations (27.27) and
(27.28) change sF2T to sF2T/2 in four places. (This was
kindly pointed out by Emilio Barone.)
Page 707: Problem 30.13: line 2:
Change “Section 6.4” to “Section 6.3”
Page 752:
Equation 33.5: Change to dX = −aX dt +s dz
Page 761: Three lines before Section
34.1. Change
“23.1 and 23.2” to “34.1 and 34.2” (This was kindly pointed out by Emilio
Barone.)
Errata in Solutions Manual
Page 11: Two lines from end: Change
“January 1, 2009” to “January 1, 2010” (This was kindly pointed out by Emilio
Barone.)
Page 16: Problem 2.23. Third line
of answer. Change “all taxed in 2009’ to ‘all taxed in 2010” (This was
kindly pointed out by Emilio Barone.)
Page 46: line 3: Change “which bond to buy;” to
“which bond will be delivered;” (This was kindly pointed out by Raffaele
Rubin.)
Page 115: In Problem 14.10 delete
“in” in first line of answer and change “to5” to “to 5” in second line of
answer. In Problem 14.12 the value of each option is $13.585 and the total
expense is $6.792 million. (This was kindly pointed out by Emilio Barone.)
Page 118: In caption to figure change
put to call in three places. (This was kindly pointed out by Emilio Barone.)
Page 119: Problem 15.8. In the first
expressions for d1 and d2, rA-rB should be replaced by rB-rA. (This was kindly pointed out by Emilio Barone.)
Page 120: First three equations on
this page should be
Page 130: Problem 16.13. lines 2 and 3 of answer. European option price should be
4.3155 and American option price should be 4.4026. (This was kindly pointed out
by Emilio Barone.) Also, in Figure S16.1, the number 12.6000 should be 20.9915.
(This was kindly pointed out by Greg Ryslik.)
Page 131: In Figure S16.2 change both 9.5178 and
9.7101 to 0.0000. (This was kindly pointed out by Emilio Barone.)
Page 135: Problem 16.21: Last two
lines: Because investment will be for three months (not a year) a one basis
point change costs $125 not $500. 125/5=5 contracts are therefore required.
(This was kindly pointed out by Mads-Andre Vaernes)
Page 149: Answer to problem 18.1
should read. “a) a frown similar to Figure 18.7, b) an
upward sloping volatility skew.” (This was kindly pointed out by Emilio
Barone.)
Page 204: Problem 23.21. Change M to F
everywhere. Also reference to equation (23.2) should be (23.8). (This was
kindly pointed out by Emilio Barone.)
Page 204: Problem 23.21. In last line
0.79851 should be 0.079851. (This was kindly pointed out by Aaron Armstrong)
Page 220: Problem 26.5: Insert N(d2) after Ke-rT in fourth equation from end of page and last
equation on page. (This was kindly pointed out by Marco Salerno.)
Page 221: Problem 26.5: Insert N(d2) after Ke-(r+l)T in first equation on page. (This was kindly pointed
out by Marco Salerno.)
Page 225: Problem 26.13. First line of answer. Change “Section 26.4” to “Section
26.5”. (This was kindly pointed out by Emilio Barone.)
Page 235: first equation: In the coefficient of dt, (sf,i−sg,i)2 should be multiplied by ½. (This was
kindly pointed out by John Hyde)