Visit to Enron

Grant and Vince,

Thanks for arranging my visit to Enron. I was impressed by the nature and
scope of work in the group and the people I met. I look forward to hearing
from you later in the week.

A few peple asked me the method I used to value Asian options. It is an
approximate method based on geometrical averaging with an adjusted exercise
price, as described by Gordon Gemmill in Option Pricing: An International
Perspective, McGraw-Hill, London, 1993, pages 242-248.

Regards,

Greg
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