transport model ken greg gamma cross gamma spread option appear correct one anomaly found price change function maturity see attached figure odd seeming gamma anomaly largely zimin enron north america corp kenneth shulklapper 08 07 2000 11 40 zimin lu hou ect ect cc subject transport model zimin looking new transport model returns greek calculations comfortable looked formulas see inconsistencies getting significantly higher gamma values years near months years rho also seems high throughout curve prepared release model used floor would like sign calculations know meeting wednesday wanted get model review early good example talking tab longterm 9 kingsgate malin deal worked previously please give greg couch call questions thanks ken 3 7009 forwarded kenneth shulklapper hou ect 08 07 2000 10 58 enron north america corp victor guggenheim 08 07 2000 10 54 kenneth shulklapper hou ect ect cc subject transport model