Message-ID: <5780699.1075857033769.JavaMail.evans@thyme>
Date: Thu, 13 Jan 2000 02:27:00 -0800 (PST)
From: zimin.lu@enron.com
To: fred.lagrasta@enron.com
Subject: model for insurance against cruel oil down side risk
Cc: stinson.gibner@enron.com, vince.kaminski@enron.com
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
Bcc: stinson.gibner@enron.com, vince.kaminski@enron.com
X-From: Zimin Lu
X-To: Fred Lagrasta
X-cc: Stinson Gibner, Vince J Kaminski
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_9\Notes Folders\C:\Technote\Mail\Projects
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Fred, 

I have finished a model we talked about a few days ago.

The option we try to price is a digital on on an Asian Strip.
If the average price of the prompt month crude oil in a specified time window 
falls below the strike price, the option pays a lump sum of money secified by
the "digital payout" in the model.  

 As a comparison, I also included European option on the Asian Strip.

Let me know if you have any questions.

Zimin
x36388


