Message-ID: <6604791.1075845427922.JavaMail.evans@thyme>
Date: Fri, 8 Jun 2001 13:06:15 -0700 (PDT)
From: bob.lee@enron.com
To: andy.zipper@enron.com, jay.webb@enron.com
Subject: EOL Pricing Algorithm Update
Cc: zimin.lu@enron.com, vasant.shanbhogue@enron.com, j.kaminski@enron.com
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Hi

I've attached a couple of files summarizing our progress and current status on modeling the bid-ask spread.  The first summarizes characterization of the EOL Crude data and the second describes a bid-ask spread model based on options theory developed by Zimin (The figure from the paper is included separately).  I am now setting up an Excel spreadsheet to test this model with the EOL data.

Let me know when you would like to meet to review this.

Thanks, Bob Lee                                

  
 

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