Message-ID: <21756583.1075849663165.JavaMail.evans@thyme> Date: Wed, 2 May 2001 01:48:00 -0700 (PDT) From: bob.lee@enron.com To: mike.maggi@enron.com Subject: Vol Skew No-Arbitrage Constraints Cc: john.arnold@enron.com, vince.kaminski@enron.com, zimin.lu@enron.com, stinson.gibner@enron.com, savita.puthigai@enron.com, john.griffith@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: john.arnold@enron.com, vince.kaminski@enron.com, zimin.lu@enron.com, stinson.gibner@enron.com, savita.puthigai@enron.com, john.griffith@enron.com X-From: Bob Lee X-To: Mike Maggi X-cc: John Arnold, Vince J Kaminski, Zimin Lu, Stinson Gibner, Savita Puthigai, John Griffith X-bcc: X-Folder: \John_Griffith_Nov2001\Notes Folders\Discussion threads X-Origin: GRIFFITH-J X-FileName: jgriffit.nsf The attached note lists conditions that can be used to verify that a given vol skew curve does not generate arbitrage opportunities in a strip of option prices. If you have questions or want to discuss implementation, please give me a call. Bob Lee x35163