Enron Mail

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 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 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