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Enron Mail |
Andrea,
We finished the the costless collar valuation. See the spreadsheets for details. We checked the Bloomberg for volatility assumption. The 100 days volatility is around 50%. Since the option is for 3 years, the volatility should be somewhat smaller. So we put an array of calculations, with the volatility ranges from 20% to 60%. If you have any questions, please call me or Bob Lee. Zimin ---------------------- Forwarded by Zimin Lu/HOU/ECT on 01/09/2001 09:02 AM --------------------------- Bob Lee@ENRON 01/09/2001 08:48 AM To: Zimin Lu/HOU/ECT@ECT cc: Subject: HC Costless Collar
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