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Enron Mail |
Vince and Stinson,
Bob finished a comparison between our spread option model and SciFinance spread option model. SciFinance model is very accurate. In their model there is a knob to control the accuracy, more accuracy needs more computation time. Also for high correlation, the model runs significantly slow. I forward Bob's mail below, if you get a chance, please take a look. Zimin ---------------------- Forwarded by Zimin Lu/HOU/ECT on 11/30/2000 03:11 PM --------------------------- Bob Lee@ENRON 11/28/2000 08:00 AM To: Zimin Lu/HOU/ECT@ECT cc: Subject: SciFi/Exotica Comparisons Zimin The comparisons are attached (see Summary page on the Excel spreadsheet). THe high level (Aspen) description of the finite difference code is attached also. I also included the finite difference xll, if you want to run some cases. Bob
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