Vinzenz Bronzin

Vincent Bronzin (Italian Vincenzo, born May 4, 1872 in Rovinj in Istria, † 20 December 1970, Trieste ) was an Austro- Italian mathematician.

Bronzin studied with the famous Austrian physicist Ludwig Boltzmann. Under Eugenio Gelcich ( Jelcic ) Bronzin was first professor of "political arithmetic " to the royal and imperial trade and the Nautical Academy in Trieste, before he was its director in 1910. With his 1908 published book Theory of premium transactions, he is next to Louis Bachelier as an important early pioneer of modern option pricing theory.

For the evaluation of option contracts Bronzin attacked in the modeling of future prices of risky securities back to the first decade of the 20th century only rudimentary founded probability theory. He went out of the requirement ( preference) of risk neutrality:

" ... That at the moment of the conclusion of each business stand both opponents with quite the same opportunities, so for none of them is to accept no gain or loss in advance; We therefore provide us with any transaction under such conditions completed before that the whole hope of values ​​of the profit and loss at the moment of the contract are equal to each other, or the loss conceptualizing as negative profit that all hope value of the profit for both counterparties to zero equal had to. "

For this reason, developed by Bronzin option price formulas today still valid valuation formulas that are based on the work of Fischer Black, Myron S. Scholes and Robert C. Merton already comply. However, the option pricing model of Black and Scholes used no preferences, especially not the condition of risk neutrality, but based solely on the rational argument of the absence of arbitrage. The justification of option prices based on the absence of arbitrage goes back to Merton. Bronzins work, however, not lead to the conclusion that it's already been aware of the argument of the absence of arbitrage.