Subject: Vol Skew No-Arbitrage Constraints
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Wed, 2 May 2001 11:48:00 -0700 (PDT)

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