Vincenz Bronzin’s Option Pricing Theory:Contents, Contribution, and Background

This paper originates in an email sent by the second author wondering whether the first author knewabout Bronzin’s booklet on option pricing, dating back almost a century and containing formulas whichappear rather similar to those developed by Black-Scholes. The scepticism of the first author quickly disappearedafter reading Bronzin’s manuscript. - We would like to thank Robert C. Merton for clarifying comments.The detailed and insightful suggestions by David Rey, Yvan Lengwiler and Stefan Duffner havesubstantially improved the paper. Ana Perisic established the contact to Gerhard Bronzin. In Trieste, thefollowing persons were extremely helpful, with respect to contacts, information, and comments: GiorgioRaldi, Anna Millo, Anna Maria Vinci, Ermanno Pitacco, Patrik Karlsen, Clara Gasparini (RAS) and fromGenerali: Alfred Leu, Alfeo Zanette, Marco Sarta, Ornella Bonetta (Biblioteca). The staff of the Archivio diStato di Trieste, of the Biblioteca Civica di Trieste, and the Biblioteca dell’Assicurazioni Generali, Trieste,was extremely helpful and supporting. Partial financial funding by the WWZ-Förderverein is gratefullyacknowledged under the project no. B-086.