Customer Reviews

Exotic Options: A Guide to Second Generation Options

5 star:		(2)
4 star:		(1)
3 star:		(1)
2 star:		(2)
1 star:		(1)

 

 

Hello, I bought the book "Exotic Options of Zhang" few days ago. I'm a french reader working in a big french Broker firm. I note some mistakes in the two first parts of your book. Here is the list. Page 8: In the table MQTIF -> MATIF Marche A Terme International de France Page 11: In the footnote CAC 40 (or 240) is now for "Cotation Assistee en Continue" instead of "Compagnie des Agents de Change" Page 28: "Fisher Black... now a partner at Goldman Sachs..." In fact, I think he is resting in peace now ! Page 35: In the footnote A wrong "r" replaces the greek letter sigma, and confusion in the stochastic process between the Brownian and the process dz(t). Page 51: In Appendix (A2.4) dz(t) instead of z(t) Page 60: Equation (3.5) No "S" term in the pricing formula of the future option. Page 66: I think that the model of Heston for stochastic volatility is more accurate to deal with. Page 75: "An option's theta is always positive because there is always more possibility..." I think it's only true for call option, indeed the case of deep in the money put is different. Page 100 & 101 : Figure 4.6 & 4.7 Confusion in the trees between payoffs and values of option. Text says .." $5.61 because it is larger than the corresponding value $4.78.." and the tree shows in fact a value of 5.16 at node G. In Fig 4.6, the node in the first step with the value $5.61 is inferior to the value of the european case $6.04 (Fig 4.5) ? In fig 4.7 , no final price for the option, the final node is blank. Page 102 : "In Example 4.3 and 4.4, the European and American Put option prices are..." instead of "Example 4.4 and 4.5" Page 114 : At the top of the page "...asset price in (2.4) or (4.3)." instead of "...asset price in (2.4) or (5.3)." Page 118 & 119 : In example 5.4 & 5.5 1) "+ N(0.1372) " instead of "x N(0.1372)". 2) exp(-0.07) = 0.9324 and not 0.9236 ?! 3) Finally the price of the call C is not $20.117. 3 bis) Missing sign equal "=" (replaced by a minus "-" ?!) 4) Same problem for the put. 5) In Example 5.5 reference to example 5.3 and 5.2 instead of 5.4 ! Page 120 : Equation (5.13) "t* - s" instead of "t* s" in the denominator Page 121 : Example 5.6 I think the same kind of problem in the numerical application of the formula. Page 123 : "The Asian call option prices become higher with more frequent obsrevations as shown in Table 5.1" obsrevations -> observations higher -> lower ... I think ?!! Page 124 : Example 5.7 You note "yield on the undelying asset is zero" but you write next "g = 0.03" You write twice T sa_mu,n-j ? Impossible to find your result for the correlation 0.883 ???? except if in (5.18) the second term (r-g-.5*s*s) is not squared ! Page 125 : Example 5.9 WRONG ONE MORE TIMES How do you find 0.4583 for te ??? Page 126 : Example 5.10 The value of Dcg1 and Dcg2 are swapped in the price of the call. Idem for the put , where the litteral equation and its application are false (Minus sign, exponential disappears,...) ! Page 127 : In Equation 5.22 Miss a starting parenthese "(" Page 135 : In Equation 6.2, the second SUM sign is in fact a MULTIPLICATION sign, isnt'it? I continue my interested [and careful ;-) ] reading... Michel KUREK EMAIL: MKUREK@COMPUSERVE.COM

This could have been a very valuable addition to my growing list of books on derivative pricing. As many other readers have mentioned, there are so many typos as to make it nearly worthless to the reader. The author, publisher or editor owes every purchaser of this book a complete errata sheet (could be as large as the book itself). I did find the section on the distribution of the correlation coefficient very interesting.

This could be a good book if it weren't for all of the errors. The typos, inconsistent formulas, and algebraic mistakes make you wonder if the author was awake when he wrote this book.

I found the progression of the discussion good. Also, useful were the realtionships between the various derivations. Where one option utilized another's derivation, the results were not repeated but extended, giving insight into their relationship. Without a doubt, however, I derated the presentation because of the innumerable typos which caused me great frustration and cost both time and certainty.

I find this book useful but I have to rate it unacceptable for all but the *very* determined reader. It is loaded with typographical errors rendering formulas wrong, numerical examples wrong, etc... Really infuriating and unacceptable. I sent e-mail to the publisher complaining and they said "oh, the copy editor on that book quit." No errata sheet available. Caveat emptor.

I have read P.G. Zhang's extoic options with great interest. It provides the readers with overview of the extoic options commonly seen in the markets. However, most readers will be turned off by the complicated calculation of the pricing of the extoic options. But it's still give you an overview of the extoic options. It's a good buy

I read the first draft of this book and I like to talk to the author Peter Zhang. If any one has his e-mail please let me know, thanks. It is the second time to send the e-mail request.