Errata for A&J Questions Bank (Derivatives Markets) for FM/2

2nd Edition
Errata for A&J Questions Bank (DM) SOA Exam FM/ CAS Exam 2

1. Part 1 Q2- No answer. All answers are correct. Short sale is needed in delta-hedging the
position of option writers.
2. Part 2 Q22- “A 6-month equity-linked CD guarantees 110% of the invested amount plus
65% of the simple appreciation of S&P 500 over that time”."Plus" should be "or".
3. Part 3 Solution for Q23 “A 30-35-40 purchased butterfly spread consist of buying a 30-
strike put, a 40-strike call, and selling a 35-strike call and a 35-strike put”.
4. Part 4 Q9- The solution should be (E).
5. Part 4 Q17- The second paragraph should be “Find the profit of Golddiggers if she sells
400-strike at-the-money call option to insure her position, where the spot price of gold after
1 year is $430.”
6. Part 4 Q19- in the explanation of option (C), it should be: “(C) is incorrect as the net profit
diagram of a cap is similar to a long put.”

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