Enron Mail

From:santiago.garcia@enron.com
To:john.griffith@enron.com
Subject:Lookback model
Cc:
Bcc:
Date:Thu, 27 Sep 2001 15:40:14 -0700 (PDT)

John,

Research has delivered the lookback model with fixed strike. The path is: o:\research\custom\xfxlkbk

You will find the model and the .xll that we will have to install in order to run the model. The payout for the put = MAX(K-F(T), 0) where F(T) is the daily closing of NYMEX prompt month.

I'll also test the model and will call you later.

Thanks.

Santiago