FX Options Errata
- page 36, section 1.4.6 Butterfly: A long Butterfly is a combination of a long straddle and a short strangle. Figure 1.15 shows the profit of a long Butterfly. Thank you, Anupam Banerji (Equities (IT), Credit Suisse, Sydney, Australia) for pointing out to me that the way it is written is confusing. However, there is still a dispute in the market about the notion of long and short butterflies (I think). I like to think of a long Butterfly as betting on market activity.
- page 51, equation (1.120), gamma of the one-touch. In the last two lines, the e+ and the e- are divided by tau. They should be divided by (2 tau). Thank you, Sven Foulon and Yanhong Zhao, for pointing this out. Yanhong produced a corrected formula in pdf.
- page 87, the second "Asymmetric power option" section title should be "Symmetric power option". Thank you, Harold Cataquet, for pointing this out to me.
