Errata for first book: ‘Option Valuation under Stochastic Volatility’

This errata is for the “Second printing: 2005 (with corrections)”. Check your copyright page. If you have an earlier printing, an older errata is found here

Last Edit: Jun 26, 2016

Page numberCorrection
(last paragraph)
'weIn' should read 'in'
(third line of code block)
Op[a*L_, expr_] should read:

Op[a_*L_, expr_]
333Eqn (2.9) should read:

u(y,t) = \frac{\Gamma(\beta-\alpha)}{\Gamma(\beta)} \, [\hat{X}(y,t)]^{\alpha} \, M[\alpha,\beta,-\hat{X}(y,t)],

now using \hat{X}(y,t) = \frac{y}{e^t - 1}
188Eqn (4.1) should read:

\lambda(k) = -\omega (g - d) = ...

and u(k,V) = \exp[(g-d)V]
187In Eqn (3.8), the term with theX^2 may not be correct.