Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market

12 Pages Posted: 29 Oct 2019

See all articles by William T. Ziemba

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business; Systemic Risk Centre - LSE

Date Written: October 19, 2019

Abstract

This paper develops useful theory of arbitrage and risk arbitrage. It describes a prize winning successful risk arbitrage involving Nikkei put warrants trading on the Toronto and American stock exchanges. The paper describes the various types of contracts and how the risk arbitrage was traded and executed.

Keywords: arbitrage, risk arbitrage, betting exchanges, hedge fund strategies, Nikkei put warrants, Nikkei call warrants, Japanese land and stock prices

JEL Classification: C02, G01, G11, G12

Suggested Citation

Ziemba, William T., Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market (October 19, 2019). Available at SSRN: https://ssrn.com/abstract=3472457

William T. Ziemba (Contact Author)

University of British Columbia (UBC) - Sauder School of Business ( email )

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HOME PAGE: http://williamtziemba.com

Systemic Risk Centre - LSE ( email )

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