Message-ID: <408779.1072137173440.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
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	stinson.gibner@enron.com, savita.puthigai@enron.com, 
	john.griffith@enron.com

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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 
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