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

Author:

Ureche-Rangau LoredanaORCID,Vaslin Jacques-Marie

Publisher

Elsevier BV

Subject

Finance

Reference33 articles.

1. Bignon, V., Flandreau, M., 2018, “The other way: a narrative history of the Bank of France”, CEPR Discussion Paper No. DP13138.

2. A one-factor model of interest rates and its applications to treasury bond options;Black;Financial Anal. J.,1990

3. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

5. ARCH modeling in finance: a review of the theory and empirical evidence;Bollerslev;J. Econometrics,1992

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