Data Entry: Please note that the research database will be replaced by UNIverse by the end of October 2023. Please enter your data into the system https://universe-intern.unibas.ch. Thanks

Login for users with Unibas email account...

Login for registered users without Unibas email account...

 
Amazing discovery : Vincenz Bronzin’s Option Pricing Models
JournalArticle (Originalarbeit in einer wissenschaftlichen Zeitschrift)
 
ID 72127
Author(s) Hafner, Wolfgang; Zimmermann, Heinz
Author(s) at UniBasel Zimmermann, Heinz
Year 2007
Title Amazing discovery : Vincenz Bronzin’s Option Pricing Models
Journal Journal of Banking and Finance
Volume 31
Number 2
Pages / Article-Number 531-546
Keywords option pricing, premium contracts, history of option pricing theory, Trieste, evolution and socioeconomic, impact of financial models
Abstract In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier's now famous dissertation (1900) [Bachelier, Louis, 1900, 1964. Théorie de la speculation, Annales Scientifiques de l’ Ecole Normale Supérieure, Paris, Ser. 3, 17, pp. 21–88. (English translation in: The random character of stock market prices (Ed. Paul Cootner), MIT-Press (1964), pp. 17–79)], the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. In particular, he uses the normal distribution to derive a pricing equation which comes surprisingly close to the Black–Scholes–Merton formula.
Publisher North-Holland
ISSN/ISBN 0378-4266
edoc-URL http://edoc.unibas.ch/dok/A5250428
Full Text on edoc Restricted
Digital Object Identifier DOI 10.1016/j.jbankfin.2006.07.003
Document type (ISI) Article
 
   

MCSS v5.8 PRO. 0.322 sec, queries - 0.000 sec ©Universität Basel  |  Impressum   |    
28/03/2024