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Enron Mail |
Allan,
Paulo Issler in our group, working with Eric Moon in structuring, recently tracked down the reason for a slight mis-match in option pricing in ERMS vs. the structuring spreadsheets. It is due to the fact that the option valuation functions in ERMS use a slightly less accurate approximation for the cumulative normal distribution. We would be happy to work with the right person to update the ERMS code in order to close this discrepancy. Please let me know how you would like to proceed. If you are not the correct person to address the mainenance of ERMS, please let me know who to contact. Thank you, Stinson Gibner x34748
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