Message-ID: <28994528.1075856431201.JavaMail.evans@thyme>
Date: Wed, 2 May 2001 01:48:00 -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: \Vincent_Kaminski_Jun2001_2\Notes Folders\Discussion threads
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

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 