Conversion risk on 19th century French consols and embedded options: A simple exercise

Loredana Ureche-Rangau and Jacques-Marie Vaslin

Finance Research Letters, 2023, vol. 58, issue PB

Abstract: This paper investigates the conversion risk exposure of French government consols on the Paris Stock Exchange market during the 19th century. Using the classic option pricing framework, our results indicate that market investors were able to detect the presence of an embedded conversion option and price it quite accurately almost two centuries ago.

Keywords: French consols; Conversion; Callable bonds; Option pricing (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300747x

DOI: 10.1016/j.frl.2023.104375

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