Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market

descriptionPublicationkeyboard_double_arrow_right Article 01 May 2018 English Publisher:Wilmott Magazine LtdJournal:Wilmott, volume 2,018, pages 42-47 (issn: 1540-6962,

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Authors: Bill Ziemba;

doi: 10.1002/wilm.10674

Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market

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Abstract

This paper describes a risk arbitrage set of trades using the Nikkei put warrants traded in Toronto and New York around the time of the great 1990 crash in Japanese stock and land prices.

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