Suggestions Gabriel R. Chan, MA, Dept. of Economics, Queen’s Univ.,Canada May 6, 2001 1. Page 246, Equation(69) Typo Original dF, = Ft-+ FasdS.+. Suggestion: dF = Fidt + FdS\+-.. 2. Page 248, Equation(78) Typo Original: dFi= Fudt+ Fedret ow Suggestion: dF = Frdt+ Fydry ton 3. Page 278, Equation(14) Typo Original : rPidt —ddt Suggestion :rPydt + 6F.Sydt 4. Page 280, Equation(24) Typo Original: dP, = (Fidt + F,d8,) = F,dS;—S,4P, Suggestion s dP,= Fudt-+ PudS; + 0°S?Fdt— PsdS —S,4P, 5. Page 281, Equation(26) Typo Original : dP, Full FedS.)—F.dSs—S; [i (Fah SA GPa? 2] Fano Sud, Suggestion: dP,=(Rdt-+ FedSe)+ SoS? Fadl — FedSe 5, [[e« + Pati SE ano® Sat Puasa]6. Page 281, Equation(27)-Equation(28) Typo dSt=pSydt+oSdW, AP = FlSi+ Felt + SoS? Paya P.=6,F +05 PHP-PS dP, =dF = P.aS,= SdF, d= Fd + PosdSi+ So°SPFesadt AP, = PAS + Felt + 40S? Fydt —P.aS,—SiAP, Since the only stochastic term is: Sd Fy In order for the portfolio to be riskless. SWF, =0 dF,=0 AF, = Fadi + Fost Si+ SoS} Fest dt + Fly odW,) + 50°S? Psat Since all the cross product partial derivatives with t and 3" order partial dervatives should be zero in mean square sense, therefore Far =0, Fen =0 dP, = FeyS(udt+ odWs) Applying Girsanov Theorem, define dW, = pdt +d, BP [Fy Si(udt-+odty)] = BP [FSaPt= Redt + SoS? Pt rPedt= Fudt+ 0S} Fy 1(F—F.S1) La 1262p Fit 50°SPPos SPPas + 7 FSt 7. Page 299, Typo Original :4"paragraph6"lineFig.8 Suggestion : Fig.6 8, Page 300, Equation (15),(16),(17) Error Original : dPy+ ddt = r Put Suggestion : dP, —6F,Sudt=rPrdt Original : dP, = —Sdt-+rePedt Suggestion :dP, = 6P,Sydt-+ryPedt Original :rP ~rF,S¢~8~ Fi 3F.0? =O 1 Suggestion: FF = rF,S,+6F,S:—F,= 5F.u0? =0 9, Page 314, Equation(8),(9) Typo Originat: [ 2 Suggestion : [ 10. Page 335, Equation(110) Typo Original = BPS ea Suggestion:11. Page 341, Equation(155) Typo Original : if [2 MAX [sr Suggestion: EP [e MAX [5s 12, Page 439, Bquation(18),(19) Typo Original Suggestion : 13, Page 455, Equation(13) Typo P=6,B'- OB dP = 0,dB" —624B* + BMdd, — Bd, e201 6104) pq v2 1) apa( ‘2-1 Bi B [ oy 4d pay 2-01 Ba THO) Pats dP = (— 2) Pat (2 )Pludt-+ 0d) +( = Plundt ondW;) Cule= 0200) gy ¢ 271 y pany, Sa Cathy py ¢ 2201 pay 2-01 » in a) Pate 14. Page 464, Equation(46) Typo Original : (a(k — r) — B’rd)By +. Suggestion : (a(k—r) —br3.\)B, +. 15, Paged17, Equation(16) Typo Original: BF. Suggestion : EE