Errata: Optimal exercise of russian options in the binomial model


  1. Page 3: In Figure 1, example subgraph, right hand notes should be n+1, rather than n.
  2. Page 4: Statement of Lemm2, comma rather than period between k and k in node description: is (n,k.k), should be (n,k,k).
  3. Page 9: Second paragraph in proof of Lemma 6, last equation of that paragraph, j should be k: is βn+1uj-1, should be βn+1uk-1.
  4. Page 9: Definition 1, and various other locations, exercise boundary is also termed the execution boundary.
  5. Page 10: Last paragraph of section 4, refers to an appendix. Due to lack of space, appendix does not appear in this paper.
Last update Wed Jul 5 14:45:28 EDT 2006