compound model reedy creek stinson think gamma flow v r vince stinson gibner 11 30 2000 06 14 pm alex huang corp enron enron cc vince j kaminski hou ect ect vasant shanbhogue hou ect ect subject compound model reedy creek alex paulo continued look model come couple additional changes 1 cash flow calculations need include overlying option strike payment also paulo trying clarify cashflows discounted valuation date reported notional future values 2 would suggest trying changing option valuation binomial tree approach one dimensional integration perhaps using quadrature method may allow us minimize size delta discontinuities 3 edith supposed check see theoretical gamma used anything probably need revisit gamma calculation since currently including cross terms gamma thanks stinson