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Enron Mail |
Deal all,
I have written the option pricing formula for European (EURO), American (Amer) and Asian (AGC) options. I have also cited the references for each option. The function names in ( ) are the option models in the Enron Exotica options library. You do not have to have outside programmer to duplicate our work, since we have constructed and tested these models. If you have any questions, please let me know. Zimin Vince J Kaminski 06/30/2000 02:31 PM To: Michael Danielson/HOU/ECT@ECT cc: Stinson Gibner/HOU/ECT@ECT, Zimin Lu/HOU/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT Subject: Re: EOL Phase 2 Michael, Please, contact Zimin Lu. Vince Kaminski Michael Danielson 06/30/2000 01:10 PM To: Vince J Kaminski/HOU/ECT@ECT, Mike A Roberts/HOU/ECT@ECT cc: Angela Connelly/LON/ECT@ECT, Savita Puthigai/NA/Enron@Enron Subject: EOL Phase 2 Thanks for your help on content for EOL phase 2. An additional piece of content that we are trying to include in our scope is an options calculator. This would be an interactive tool to teach less sophisticated counterparties about options. We would like to collaborate with someone in research to refine our approach (and make sure we're using the right formulas). Who should we contact in research for this? Attached is a mock-up of what we have in mind... - Calculator Prototype.ppt
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