hc costless collar andrea ,
we finished the the costless collar valuation . see the spreadsheets for
details .
we checked the bloomberg for volatility assumption . the 100 days volatility is
around 50 % . since the option is for 3 years , the volatility should be
somewhat smaller .
so we put an array of calculations , with the volatility ranges from 20 % to
60 % .
if you have any questions , please call me or bob lee .
zimin
- - - - - - - - - - - - - - - - - - - - - - forwarded by zimin lu / hou / ect on 01 / 09 / 2001 09 : 02 am
- - - - - - - - - - - - - - - - - - - - - - - - - - -
bob lee @ enron
01 / 09 / 2001 08 : 48 am
to : zimin lu / hou / ect @ ect
cc :
subject : hc costless collar
hc costless collar
andrea ,
we finished the the costless collar valuation . see the spreadsheets for
details .
we checked the bloomberg for volatility assumption . the 100 days volatility is
around 50 % . since the option is for 3 years , the volatility should be
somewhat smaller .
so we put an array of calculations , with the volatility ranges from 20 % to
60 % .
if you have any questions , please call me or bob lee .
zimin
- - - - - - - - - - - - - - - - - - - - - - forwarded by zimin lu / hou / ect on 01 / 09 / 2001 09 : 02 am
- - - - - - - - - - - - - - - - - - - - - - - - - - -
bob lee @ enron
01 / 09 / 2001 08 : 48 am
to : zimin lu / hou / ect @ ect
cc :
subject : hc costless collar