Message-ID: <27323057.1075852415368.JavaMail.evans@thyme>
Date: Wed, 26 Sep 2001 08:57:26 -0700 (PDT)
From: zimin.lu@enron.com
To: john.griffith@enron.com, santiago.garcia@enron.com, ed.mcmichael@enron.com, 
	paulo.issler@enron.com
Subject: Fixed strike lookback option
Cc: j.kaminski@enron.com
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John & Santiago,

Per our conversation, the lookback option you need is a fixed strike option. 
For put it pays    

   max(K-min(S),0)

The model in option library is for floating strike, for put it pays 
max(max(S)-S(T),0).  

So please hold on the number.  Paulo will work on a correct model and
hopefully give you the answer tomorrow.

Zimin