re : compound model for reedy creek stinson ,
i think the gamma will flow into v @ r .
vince
stinson gibner
11 / 30 / 2000 06 : 14 pm
to : alex huang / corp / enron @ enron
cc : vince j kaminski / hou / ect @ ect , vasant shanbhogue / hou / ect @ ect
subject : compound model for reedy creek
alex ,
paulo and i have continued to look at the model and have come up with a
couple of additional changes .
1 . the cash flow calculations need to include the overlying option strike
payment . also , paulo is trying to clarify if the cashflows should be
discounted to the valuation date or reported as notional future values .
2 . i would suggest trying changing the option valuation from a binomial tree
approach to a one - dimensional integration , perhaps using a quadrature
method . this may allow us to minimize the size of the delta discontinuities .
3 . edith is supposed to check and see if the theoretical gamma is used for
anything . if it is , we will probably need to revisit the gamma calculation
since we are not currently including any cross terms for gamma .
thanks ,
stinson
re : compound model for reedy creek
stinson ,
i think the gamma will flow into v @ r .
vince
stinson gibner
11 / 30 / 2000 06 : 14 pm
to : alex huang / corp / enron @ enron
cc : vince j kaminski / hou / ect @ ect , vasant shanbhogue / hou / ect @ ect
subject : compound model for reedy creek
alex ,
paulo and i have continued to look at the model and have come up with a
couple of additional changes .
1 . the cash flow calculations need to include the overlying option strike
payment . also , paulo is trying to clarify if the cashflows should be
discounted to the valuation date or reported as notional future values .
2 . i would suggest trying changing the option valuation from a binomial tree
approach to a one - dimensional integration , perhaps using a quadrature
method . this may allow us to minimize the size of the delta discontinuities .
3 . edith is supposed to check and see if the theoretical gamma is used for
anything . if it is , we will probably need to revisit the gamma calculation
since we are not currently including any cross terms for gamma .
thanks ,
stinson