Re: Improving option valuation precision in ERMS

Stinson,

Zhiyong Wei's group will need to make this change. Please follow up with
Zhiyong and Jeremy Wong.

-- Allan.

Stinson Gibner
08/23/2000 09:54 AM
To: Allan Severude/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Paulo Issler/HOU/ECT@ECT, Eric
Moon/HOU/ECT@ECT, Ed McMichael/HOU/ECT@ECT, Zimin Lu/HOU/ECT@ECT
Subject: Improving option valuation precision in ERMS

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