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

Author

Listed:
  • 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)

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

  • Loredana Ureche-Rangau & Jacques-Marie Vaslin, 2023. "Conversion risk on 19th century French consols and embedded options: A simple exercise," Post-Print hal-04192653, HAL.
    • Handle: RePEc:hal:journl:hal-04192653
    DOI: 10.1016/j.frl.2023.104375
    Note: View the original document on HAL open archive server: https://u-picardie.hal.science/hal-04192653v1
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    References listed on IDEAS

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