Hello Chris,

Thanks for your message.  The first two pages look like an good opening to an article on
a spark spread option.

A few comments.

1. A spark spread model has two primary uses. It can be used for pricing stand alone options
traded in the OTC markets and also can be used as foundation stone for a real options valuation
model of a generation plant.




 -----Original Message-----
From: 	"Chris Strickland" <chris@lacimagroup.com>@ENRON [mailto:IMCEANOTES-+22Chris+20Strickland+22+20+3Cchris+40lacimagroup+2Ecom+3E+40ENRON@ENRON.com] 
Sent:	Wednesday, August 08, 2001 4:25 AM
To:	Kaminski, Vince J; Vince \(home\)
Subject:	EPRM


Hi Vince,
 
Hope you are well? Les enjoyed his visit with you  very much by the sound of things.
 
I was wondering if you could have a quick look over  the 2 pages attached. Robin is looking for something in the next day or so and  this is as far as I've got today. The article is going to be on spark spread  options. The material attached is the opening blurb - we'll add some analysis  under different models tomorrow - I just wanted to make sure you are comfortable  with the general comments we had written so far. If you want to add anything  then that would be great - pls feel free to add a few points that we can expand  on.
 
Thanks a lot. Its a shame you can't be here for the  Risk conference in a few weeks, we could have had a reunion dinner!
 
Best regards.
 
Chris.
 
 - EPRM_13_spark_spread.doc << File: EPRM_13_spark_spread.doc >>