Errata for
"Option Valuation under Stochastic Volatility"
Last Edit: October 23, 2003
Page number 
Correction 
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 (1phi)^2=nu^2/4 should read (1phi)^2=1/(4 nu^2). 