Subject: Re: Improving option valuation precision in ERMS
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Wed, 23 Aug 2000 04:10:00 -0700 (PDT)

Stinson,

Zhiyong Wei's group will need to make this change.  Please follow up with 
Zhiyong and Jeremy Wong.

-- Allan.

Stinson Gibner
08/23/2000 09:54 AM
To: Allan Severude/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Paulo Issler/HOU/ECT@ECT, Eric 
Moon/HOU/ECT@ECT, Ed McMichael/HOU/ECT@ECT, Zimin Lu/HOU/ECT@ECT 
Subject: Improving option valuation precision in ERMS

Allan,

Paulo Issler in our group, working with Eric Moon in structuring, recently 
tracked down the reason for a slight mis-match in option pricing in ERMS vs. 
the structuring spreadsheets.  It is due to the fact that the option 
valuation functions in ERMS use a slightly less accurate approximation for 
the cumulative normal distribution.  We would be happy to work with the right 
person to update the ERMS code in order to close this discrepancy.   Please 
let me know how you would like to proceed.

If you are not the correct person to address the mainenance of ERMS, please 
let me know who to contact.

Thank you,

Stinson Gibner
x34748