Message-ID: <23332413.1075860786673.JavaMail.evans@thyme> Date: Wed, 2 May 2001 11:48:00 -0700 (PDT) From: bob.lee@enron.com To: mike.maggi@enron.com Subject: Vol Skew No-Arbitrage Constraints Cc: john.arnold@enron.com, j.kaminski@enron.com, zimin.lu@enron.com, gibner.stinson@enron.com, puthigai.savita@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, j.kaminski@enron.com, zimin.lu@enron.com, gibner.stinson@enron.com, puthigai.savita@enron.com, john.griffith@enron.com X-From: Bob Lee X-To: Maggi, Mike X-cc: Arnold, John , Kaminski, Vince J , Lu, Zimin , Stinson Gibner , Savita Puthigai , Griffith, John X-bcc: X-Folder: \John_Griffith_Mar2002\Griffith, John\Research X-Origin: Griffith-J X-FileName: jgriffit (Non-Privileged).pst 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