vol skew no - arbitrage constraints 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
x 35163
vol skew no - arbitrage constraints
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
x 35163