Message-ID: <25691278.1075852414946.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, 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: \JGRIFFIT (Non-Privileged)\Griffith, John\Skew 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