Message-ID: <31067646.1075852403988.JavaMail.evans@thyme> Date: Mon, 22 Oct 2001 07:02:39 -0700 (PDT) From: john.griffith@enron.com To: chris.cramer@enron.com Subject: RE: spread option pricing Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Griffith, John X-To: Cramer, Chris X-cc: X-bcc: X-Folder: \JGRIFFIT (Non-Privileged)\Griffith, John\Deleted Items X-Origin: GRIFFITH-J X-FileName: JGRIFFIT (Non-Privileged).pst I haven't actually done anything yet, but my model is built, I just need to add the inputs (vol, price, correl...). I will call you when I do. Thanks. John -----Original Message----- From: Cramer, Chris Sent: Monday, October 22, 2001 8:57 AM To: Griffith, John Subject: spread option pricing Hi John, I'm the one who's working with eric on the spread option price. Jared indicated you'd get him something today....could you tell me what your using for you vols (FGT/MKTAREA and correlations (between Z2/Z3, and between (Z2/Z3) and FGT/MKTAREA)? Also, once I've plugged in the numbers if you'd like to see my results, let me know. thanks, cjc