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
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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