ethylene margin collar simulation model i set up the simulation model . the margin follows a mean - reverting process .
i seperarted the data into two category , margin > 0 . 04 and margin < 0 . 04 .
then i estimate the mean reverting speed seperately for these two data sets .
i got higher mean reverting speed than that i estimated using the whole data
set .
the high mr speed surpresses the probability at high payout side .
since the mr speed is sensitive to where i divide the data , so bob will run
a few senarios .
i put the overal settlement cap and floor into the montly premium
calculation , so the
the result in el 8 on the summary page is the ultimate answer to the deal
pricing .
i also calculate the undiscounted payout distribution and overall collar
worth .
relax the overall cap and floor will have a direct comparison with the spread
option
approach that bob and lee set up .
look like we got a reasonable model .
stinson :
i ' d like to have you check my set up for the simulation model .
lee and douglas :
you can play with the model , and let me know what do you think .
bob :
we need run different price curve senarios using the simulation model .
plus different mr speed .
zimin
ethylene margin collar simulation model
i set up the simulation model . the margin follows a mean - reverting process .
i seperarted the data into two category , margin > 0 . 04 and margin < 0 . 04 .
then i estimate the mean reverting speed seperately for these two data sets .
i got higher mean reverting speed than that i estimated using the whole data
set .
the high mr speed surpresses the probability at high payout side .
since the mr speed is sensitive to where i divide the data , so bob will run
a few senarios .
i put the overal settlement cap and floor into the montly premium
calculation , so the
the result in el 8 on the summary page is the ultimate answer to the deal
pricing .
i also calculate the undiscounted payout distribution and overall collar
worth .
relax the overall cap and floor will have a direct comparison with the spread
option
approach that bob and lee set up .
look like we got a reasonable model .
stinson :
i ' d like to have you check my set up for the simulation model .
lee and douglas :
you can play with the model , and let me know what do you think .
bob :
we need run different price curve senarios using the simulation model .
plus different mr speed .
zimin