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Nikkei Put Warrants Suppose Suppose Y 0 = 145 yen/dollar, Nikkei moved from 38,000 to 30,000, then dollar appreciate to Y 1 = 150 yen/dollar,

Nikkei Put Warrants

Suppose Suppose Y₀= 145 yen/dollar, Nikkei moved from 38,000 to 30,000, then dollar appreciate to Y₁= 150 yen/dollar,

(a) Calculate GSs payoff from its raw materials, its long position in Nikkei put warrants

(b) Calculate GSs payoff from newly designed Nikkei put warrants sold to retail investors, its short position in newly designed Nikkei put warrants

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