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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 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 Date: Wed, 2 May 2001 01:48:00 -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