• 1. Introduction
  • 2. Classification of contracts, and terminology
  • 3. Hedging, replication, and arbitrage
  • 3.1 Hedging and replication
  • 3.2 Arbitrage
  • 4. The general valuation framework
  • 4.1 Spot price, expected price, and forward price
  • 4.2 An asymmetric probability density of the underlying price
  • 4.3 The expected value of a contract is zero – an analogy with the risk-neutralvaluation approach
  • 4.4 Substituting probabilities by prices
  • 5. Option pricing with specific functional or distributional assumptions
  • 5.0 Pre-Remarks
  • 5.1 A constant (Rectangular distribution)
  • 5.2 A linear function (Triangular distribution)
  • 5.3 A quadratic function (Parabolic distribution)
  • 5.4 An exponential function (Negative exponential distribution)
  • 5.5 The normal law of error
  • 5.6 A comparison with the Black-Scholes model
  • a) Normal versus lognormal market price
  • b) Deriving the Black-Scholes formula from the Bronzin equation
  • c) The “Bronzin” style Black-Scholes formula
  • d) A simple expression (approximation) for at-the-money options
  • 5.7 The binomial distribution (“Bernoulli theorem”)
  • 6. Valuation of Repeat-Options (“Noch”-Geschäfte)
  • 7. Option pricing in historical perspective, and an evaluation of Bronzin’s contribution