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 <Bob Lee/NA/Enron@Enron>
X-To: Maggi, Mike </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Mmaggi>
X-cc: Arnold, John </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Jarnold>, Kaminski, Vince J </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Vkamins>, Lu, Zimin </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Zlu>, Stinson Gibner <Stinson Gibner/HOU/ECT@ECT>, Savita Puthigai <Savita Puthigai/Enron@EnronXGate>, Griffith, John </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Jgriffit>
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