Derivatives Pricing

This paper presents a fallacy of the Black and Scholes’ (BS) option pricing concept. The BS pricing is still the unique theoretical way for pricing derivatives though quite a large number of expert have found a lot of remarks concerning its theoretical and practical failings. We should note that implementation of BS methodology uses a real historical data and it is difficult to identify in practice whether deviations of the theoretical predictions of the option prices are due to incorrect interpretation of the BS option prices or deviations are implied by initial assumptions of the theoretical model regarding to say for example a stock model. In [4] one presented a critical point of view on BS pricing concept. After this paper was published BS methodology is continue to be the benchmark interpretation of the derivatives pricing. Our goal is to introduce more substantial formal arguments which demonstrate that Black and Scholes’ approach to derivative pricing is incorrect.