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

Loredana Ureche-Rangau () and Jacques-Marie Vaslin
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Loredana Ureche-Rangau: LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne
Jacques-Marie Vaslin: LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne

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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.

Date: 2023-08
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Published in Finance Research Letters, 2023, pp.104375. ⟨10.1016/j.frl.2023.104375⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04192653

DOI: 10.1016/j.frl.2023.104375

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