Vinzenz Bronzin

Vinzenz Bronzin (1872–1970) was a professor of mathematics of the Accademia di Commercio e Nautica, in Trieste, Italy. He is, today, known for "rediscovering" an early option pricing formula, which is similar to the Black–Scholes 1973 formula; [1] he also provided a formulation of put–call parity [2] (written up formally only in 1969 by Stoll [3] ).

Bronzin studied engineering at the Vienna Polytechnic Institute, and then mathematics and pedagogics at the University of Vienna. He was made a professor at the Accademia di Commercio e Nautica in 1900, in "Political and Commercial Arithmetic", which included actuarial science and probability theory; in 1910 he accepted the position of director. In 1937 he resigned from all of his positions at the Academia at the age of 65.[4]

In 1908 Bronzin published his Theorie der Prämiengeschäfte (German: "Theory of Premium Contracts") discussing a then current type of option contract. Almost every element of modern option pricing can be found in Bronzin’s book;[5] however, like Louis Bachelier's now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. Bronzin’s "methodological setup is completely different from Bachelier’s,"[6] at least in terms of the underlying stochastic framework; he takes a much more "pragmatic" approach, directly making assumptions on the share price distribution at maturity, and deriving a "rich set of closed form solutions for the value of options."

See also

References
  1. Heinz Zimmermann; Wolfgang Hafner (2007). "Amazing discovery: Vincenz Bronzin's option pricing models". Journal of Banking & Finance. Elsevier. 31 (2): 531–546. doi:10.1016/j.jbankfin.2006.07.003. ISSN 0378-4266.
  2. Heinz Zimmermann; Wolfgang Hafner. G. Poitras (ed.). "Vincenz Bronzin's option pricing theory: Contents, contribution, and background" (PDF). Pioneers of Financial Economics. Econstor: 24.
  3. Stoll, Hans R (1969-02-02). "The Relationship between Put and Call Option Prices". Ideas.repec.org. Retrieved 2015-05-05.
  4. Heinz Zimmermann; Wolfgang Hafner (2009). Vinzenz Bronzin's Option Pricing Models. Springer. p. 12. ISBN 978-3-540-85710-5. LCCN 2008934324.
  5. Wolfgang Hafner, Heinz Zimmermann (2009).Vinzenz Bronzin's Option Pricing Models: Exposition and Appraisal. Springer. pp. 562.
  6. Wolfgang Hafner, Heinz Zimmermann (2009).Vinzenz Bronzin's Option Pricing Models: Exposition and Appraisal. Springer. pp. 2.
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