Deal all,

I have written the option pricing formula for European (EURO), American 
(Amer) and Asian (AGC) options.
I have also cited the references for each option.  The function names in ( ) 
are the option models in the 
Enron Exotica options library.   You do not have to have outside programmer 
to duplicate our work, since we have
constructed and tested these models.

If you have any questions, please let me know.

Zimin








Vince J Kaminski
06/30/2000 02:31 PM
To: Michael Danielson/HOU/ECT@ECT
cc: Stinson Gibner/HOU/ECT@ECT, Zimin Lu/HOU/ECT@ECT, Vince J 
Kaminski/HOU/ECT@ECT 
Subject: Re: EOL Phase 2  

Michael,

Please, contact Zimin Lu.

Vince Kaminski




Michael Danielson
06/30/2000 01:10 PM
To: Vince J Kaminski/HOU/ECT@ECT, Mike A Roberts/HOU/ECT@ECT
cc: Angela Connelly/LON/ECT@ECT, Savita Puthigai/NA/Enron@Enron 
Subject: EOL Phase 2  

Thanks for your help on content for EOL phase 2.

An additional piece of content that we are trying to include in our scope is 
an options calculator.  This would be an interactive tool to teach less 
sophisticated counterparties about options.  We would like to collaborate 
with someone in research to refine our approach (and make sure we're using 
the right formulas).  Who should we contact in research for this?

Attached is a mock-up of what we have in mind...

 - Calculator Prototype.ppt