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

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  • Ureche-Rangau, Loredana
  • Vaslin, Jacques-Marie

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.

Suggested Citation

  • Ureche-Rangau, Loredana & Vaslin, Jacques-Marie, 2023. "Conversion risk on 19th century French consols and embedded options: A simple exercise," Finance Research Letters, Elsevier, vol. 58(PB).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300747x
    DOI: 10.1016/j.frl.2023.104375
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