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Old 05-07-2008, 05:44 PM
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Valkyrie Valkyrie is offline
Join Date: May 2007
Posts: 63

I think I found 2 errors.

1. p7 the u and d formulae are missing an h

2. p12 I don't believe that d(lnX(t)) = dX(t)/X(t). I'm still not sure why this is incorrect but looking at the solution to the sample question 12
d(lnX) = (alpha - .5*sigma^2)dt + sigma dZ

Also, disregard perpetual options and add S^a claims
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