RE: spread option pricing

John,

just as a heads-up, my prelim. results, using a correlation of .75 and vol of 1.5 X of NYMEX gives me:

put: $0.515/MMBtu
call: $0.818/MMBtu

I used $0.06 as the strike.

-----Original Message-----
From: Griffith, John
Sent: Monday, October 22, 2001 9:03 AM
To: Cramer, Chris
Subject: RE: spread option pricing

I haven't actually done anything yet, but my model is built, I just need to add the inputs (vol, price, correl...). I will call you when I do. Thanks.

John

-----Original Message-----
From: Cramer, Chris
Sent: Monday, October 22, 2001 8:57 AM
To: Griffith, John
Subject: spread option pricing

Hi John,

I'm the one who's working with eric on the spread option price. Jared indicated you'd get him something today....could you tell me what your using for you vols (FGT/MKTAREA and correlations (between Z2/Z3, and between (Z2/Z3) and FGT/MKTAREA)? Also, once I've plugged in the numbers if you'd like to see my results, let me know.

thanks,

cjc