Vinzenz Bronzin (born 1872 in Rovigno – died 1970 in Trieste) was an Italian mathematics professor, known today for an early (rediscovered)

option pricing In finance, a price (premium) is paid or received for purchasing or selling options. The calculation of this premium will require sophisticated mathematics. Premium components This price can be split into two components: intrinsic value, and ...

formula, similar to, and predating, the Black–Scholes 1973 formula; he also provided a formulation of

put–call parity In financial mathematics, the put–call parity defines a relationship between the price of a European call option and European put option, both with the identical strike price and expiry, namely that a portfolio of a long call option and a shor ...

, written up formally only in 1969 by Stoll. Bronzin was born in Rovigno (now Rovinj),

Istria Istria ( ; Croatian language, Croatian and Slovene language, Slovene: ; Italian language, Italian and Venetian language, Venetian: ; ; Istro-Romanian language, Istro-Romanian: ; ; ) is the largest peninsula within the Adriatic Sea. Located at th ...

. He studied engineering at the Vienna Polytechnic Institute, and then mathematics and pedagogics at the

University of Vienna The University of Vienna (, ) is a public university, public research university in Vienna, Austria. Founded by Rudolf IV, Duke of Austria, Duke Rudolph IV in 1365, it is the oldest university in the German-speaking world and among the largest ...

. He was made a professor at the Accademia di Commercio e Nautica,

Trieste Trieste ( , ; ) is a city and seaport in northeastern Italy. It is the capital and largest city of the Regions of Italy#Autonomous regions with special statute, autonomous region of Friuli-Venezia Giulia, as well as of the Province of Trieste, ...

Italy Italy, officially the Italian Republic, is a country in Southern Europe, Southern and Western Europe, Western Europe. It consists of Italian Peninsula, a peninsula that extends into the Mediterranean Sea, with the Alps on its northern land b ...

, in 1900; his focus was "Political and Commercial Arithmetic", which included

actuarial science Actuarial science is the discipline that applies mathematics, mathematical and statistics, statistical methods to Risk assessment, assess risk in insurance, pension, finance, investment and other industries and professions. Actuary, Actuaries a ...

and

probability theory Probability theory or probability calculus is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...

. 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. In 1908 Bronzin published hi
''Theorie der Prämiengeschäfte''
( German: "Theory of Premium Contracts") discussing a then current type of

option contract An option contract, or simply option, is defined as "a promise which meets the requirements for the formation of a contract and limits the promisor's power to revoke an offer". Option contracts are common in relation to property (see below) and ...

. Almost every element of modern option pricing can be found in Bronzin’s book; however, like

Louis Bachelier Louis Jean-Baptiste Alphonse Bachelier (; 11 March 1870 – 28 April 1946) was a French mathematician at the turn of the 20th century. He is credited with being the first person to model the stochastic process now called Brownian motion, as part ...

'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,"Wolfgang Hafner, Heinz Zimmermann (2009
Vinzenz Bronzin's Option Pricing Models: Exposition and Appraisal
Springer. pp. 2. 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."

References

19th-century Italian mathematicians 20th-century Italian mathematicians 1872 births 1970 deaths Financial economists Mathematicians from Austria-Hungary {{Italy-mathematician-stub

See also

References