Re: Enron Exotica Options Library

Patrick,

Please, contact Zimin Lu, 713 853 6388.

Vince

Patrick Markey
11/21/2000 05:15 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc: Patrick Markey/HOU/ECT@ECT
Subject: Enron Exotica Options Library

Vince,

I am trying to price a crack spread option utilizing either of the following
models in the Exotica Library:

1. Spread Options by 1-D integration - SPRDOPT

2. Spread Options on Asian Spreads - ASNSPRD

How do I get access to these options models? Who can I visit with in the
Houston group if I have any questions regarding the models. Your help would
be greatly appreciated. I am located in Singapore, so I would probably be
visiting with the Houston personnel via e-mail.

Thanks,

Pat Markey

P.S. - I have access to the O:\research\exotica\xll\xll_templates\ directory;
however, there are no macros associated with the programs that I can find.
Also, I don't have access to the M: drive. Please let me know where to find
these options models.