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Enron Mail |
Purvi,
Glad to see you working on some good stuff : ) you need to pull out a black sholes calculation and input the varialbles that you were given and then call a power options trader to ask for a marekt to check the resonableness of the model models can be way off on options due to skew and market conditions good luck -----Original Message----- From: "Purvi Patel" <pnpatel@tecoenergy.com<@ENRON [mailto:IMCEANOTES-+22Purvi+20Patel+22+20+3Cpnpatel+40tecoenergy+2Ecom+3E+40ENRON@ENRON.com] Sent: Thursday, June 07, 2001 10:21 AM To: Quigley, Dutch Subject: i need your help.... I have this little project to do and i need a little help from you... (since you are an expert in this field!!) ok-- i need to figure out what the premium is on an aug on- peak call option for power. Now , I know that power is not what you do, but I can use some ideas on how to get started. Terms Strike price is $200/ MWH Forward curve for Aug is $125/MWH Aug 2001 Foward Volatility of 100% Valuation Date is June 8, 2001 Interest Rate is 6% On- Peak Call Option for 50 MW SO far, I have looked at some forcasts for Aug, and seen which hours the market rate is above 200 to come up with a premium value. I have an answer for this problem, but I was just curous as to see where you would start. Anything will work. Thanks!! Purvi P.S-- also, don't be hesitant to tell me that you have no clue--- You'll still be my favorite manager!!!
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