Message-ID: <30914260.1075840578952.JavaMail.evans@thyme>
Date: Thu, 27 Sep 2001 15:40:14 -0700 (PDT)
From: santiago.garcia@enron.com
To: john.griffith@enron.com
Subject: Lookback model
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X-From: Garcia, Santiago </O=ENRON/OU=NA/CN=RECIPIENTS/CN=SGARCIA5>
X-To: Griffith, John </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Jgriffit>
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X-FileName: john griffith 6-25-02.PST

John,

Research has delivered the lookback model with fixed strike. The path is: o:\research\custom\xfxlkbk

You will find the model and the .xll that we will have to install in order to run the model. The payout for the put = MAX(K-F(T), 0) where F(T) is the daily closing of NYMEX prompt month. 

I'll also test the model and will call you later.

Thanks.

Santiago