Subject: model for insurance against cruel oil down side risk
fred ,
i have finished a model we talked about a few days ago .
the option we try to price is a digital on on an asian strip .
if the average price of the prompt month crude oil in a specified time window
falls below the strike price , the option pays a lump sum of money secified by
the " digital payout " in the model .
as a comparison , i also included european option on the asian strip .
let me know if you have any questions .
zimin
x 36388