BlackScholesannahmen

BlackScholesannahmen refers to the set of assumptions underlying the Black-Scholes-Merton option pricing model. These assumptions are crucial for the model's mathematical derivation and its ability to provide a theoretical price for European-style options.

The first key assumption is that the underlying asset price follows a geometric Brownian motion, meaning its returns are normally distributed. This implies that large price movements are less likely than small ones. Another important assumption is that the option is European, meaning it can only be exercised at expiration. The model also assumes that the market is frictionless, with no transaction costs or taxes, and that short selling is permitted.

Furthermore, BlackScholesannahmen posits that the risk-free interest rate is constant and known, and that volatility of the underlying asset is also constant and known over the option's life. The model also assumes no dividends are paid out by the underlying asset during the option's term. Finally, it assumes that there are no arbitrage opportunities available in the market. Violations of these assumptions can lead to deviations between the model's theoretical price and the observed market price of an option.