re : improving option valuation precision in erms 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
x 34748
re : improving option valuation precision in erms
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
x 34748