Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market

William T. Ziemba

Chapter 23 in Handbook of Applied Investment Research, 2020, pp 621-633 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors (search for similar items in EconPapers)
JEL-codes: G1 G11 G17 (search for similar items in EconPapers)
Date: 2020
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