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An Early Structured Product: Illustrative Pricing of Repeat Contracts

In: Vinzenz Bronzin’s Option Pricing Models

Author

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  • Heinz Zimmermann

    (Universität Basel)

Abstract

An innovative contribution of Bronzin’s (as well as Bachelier’s) treatise is the pricing of “repeat contracts” (in German: Noch-Geschäfte)1. These contracts had some popularity in the 19th century and were used until the early decades of the past century. However, although they were covered by all major finance textbooks2 and encyclopedias in these days, their practical significance as well as their economic role remain somehow obscure. In this chapter, the pricing of the option component of repeat contract is addressed from the perspective of modern option pricing (the binomial and Black-Scholes models), and the numerical results are compared to those from Bronzin’s and Bachelier’s anlysis. The relative size of the repeat premiums is extremely close between the models.

Suggested Citation

  • Heinz Zimmermann, 2009. "An Early Structured Product: Illustrative Pricing of Repeat Contracts," Springer Books, in: Wolfgang Hafner & Heinz Zimmermann (ed.), Vinzenz Bronzin’s Option Pricing Models, chapter 21, pages 547-559, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-85711-2_27
    DOI: 10.1007/978-3-540-85711-2_27
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