Subject: model for insurance against cruel oil down side risk
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked]
Date: Thu, 13 Jan 2000 02:27:00 -0800 (PST)

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