Message-ID: <7220971.1075849658424.JavaMail.evans@thyme> Date: Wed, 7 Feb 2001 02:49:00 -0800 (PST) From: bob.lee@enron.com To: john.griffith@enron.com Subject: Volatility Skew Arbitrage Cc: zimin.lu@enron.com, hector.campos@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: zimin.lu@enron.com, hector.campos@enron.com X-From: Bob Lee X-To: John Griffith X-cc: Zimin Lu, Hector Campos X-bcc: X-Folder: \John_Griffith_Nov2001\Notes Folders\Discussion threads X-Origin: GRIFFITH-J X-FileName: jgriffit.nsf John The attached has the arbitrage conditions that need to be checkrd for skew curves. Let's get together if you have questions or comments. We are starting the design of the checks for the Excel pricing workbook as we discussed. Bob