Optical transitions in single-wall boron nitride nanotubes are investigated by means of optical absorption spectroscopy. Three absorption lines are observed. Two of them (at 4.45 and 5.5 eV) result from the quantification involved by the rolling up of the hexagonal boron nitride (h-BN) sheet. The nature of these lines is discussed, and two interpretations are proposed. A comparison with single-wall carbon nanotubes leads one to interpret these lines as transitions between pairs of van Hove singularities in the one-dimensional density of states of boron nitride single-wall nanotubes. But the confinement energy due to the rolling up of the h-BN sheet cannot explain a gap width of the boron nitride nanotubes below the h-BN gap. The low energy line is then attributed to the existence of a Frenkel exciton with a binding energy in the 1 eV range.