option pricing discrepancy j c penny transaction amitava seksan identified source discrepancy option prices calculated credit reserve model stand alone spreadsheet model used deal pricing discrepancy traced differences input variables two models algorithmic differences options priced strip options monthly instruments credit reserve simulation program calculates time expiration assuming option expires first day contract month underlying contract reasonable assumption stand alone option pricing spreadsheet allows specification option expiration date independent contract month underlying jc penney transaction monthly options assumed expire middle contract month reality underlying monthly contracts expire start respective contract months stand alone spreadsheet model allows specifications user ascertain expiration dates entered legal present seksan ascertaining option contracts involved deed monthly options strip daily options case would require estimates intramonth volatilities spreadsheet model credit reserve model regards rabi de