Errata for ‘Option Valuation under Stochastic Volatility II’

Last Edit: Mar 21, 2020

Page numberCorrection
(2nd paragraph)
subject to \tilde{p}(t;y,w,v) = \delta(y) \delta(v-w) should read:
subject to \tilde{p}(0;y,w,v) = \delta(y) \delta(v-w)
404Bottom panel should be IV not III.
500'complementary', not complimentary
412The two instances of (y')^{1/2} in Problem S1D: (...) and the line below "But comparing Problem S1d.." should read (y')^{-1/2}. The final formulas are correct.
587Below (14.1), in the expression for Y, (q-r) should read (r-q).
below (16.4)
Should read:
r_n = r - \lambda \, k + (n \gamma/\tau), \, k = e^{\gamma}-1, \, where \, \gamma = \mu_J + \sigma_J^2/2