a request vince ,
i am writing to ask for your help with some research i am doing with john
lehoczky and a phd student . we trying to apply recent advances in monte
carlo for american options to value swing and other options with multiple
early exercise decisions that are important in energy markets . i know in
general that early exercise shows up in a wide range of energy contracts ,
both real as welll as financial . would it be possible for you , either via
email or on the phone , to give us some examples of typical terms for such
instruments ? we would like our examples to look realistic . we also want to
make sure we are focusing on the right sorts of optionality .
thanks in advance ,
duane
* * * * * * * *
duane seppi
graduate school of industrial administration
carnegie mellon university
pittsburgh pa 15213 - 3890
tel . ( 412 ) 268 - 2298
fax ( 412 ) 268 - 8896
email ds 64 + @ andrew . cmu . edu