Vinzenz Bronzin (born 1872 in Rovigno – died 1970 in Trieste) was an Italian mathematics professor, known today for an early (rediscovered) option pricing formula, similar to, and predating, the Black–Scholes 1973 formula; [1] he also provided a formulation of put–call parity, [2] written up formally only in 1969 by Stoll.
He was made a professor at the Accademia di Commercio e Nautica, Trieste, Italy, in 1900; his focus was "Political and Commercial Arithmetic", which included actuarial science and probability theory.
[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."