Shaw, J.; Thorp, E. O.; Ziemba, W. T. - In: Applied Mathematical Finance 2 (1995) 4, pp. 243-272
This paper discusses the Nikkei put warrant market in Toronto and New York during 1989-1990. Three classes of long term American puts were traded which when evaluated in yen are ordinary, product and exchange asset puts, respectively. Type I do not involve exchange rates for yen investors. Type...