Monte-Carlo Library

Stinson,

I have created a directory (O:\research\common\projects\options\McLib)
to hold our Monte-Carlo models we developed in the past.

I have the following MC models:

1. Asian option with two-point vol structure
2. Asian barrier option
3. Asian spread option
4. Time spread option
5. Asian Digital option

Do we want to include models using American Monte-Carlo ?
I have

1. American Spread Option
2. Option on Min or Max of n assets with n as an input
3. Omicron option model with 3 price processes

I suggest that all of us save a copy of Monte-Carlo models in this directory,
from these,
we can build a general Monte-Carlo library. We can also calculate the MC
Greeks more
efficiently now.

Zimin