Paper Title
Black-Scholes and Pitfalls Of Underlying

In this financial engineering research,we confirmthat the valuation of European styled options using Black-Scholesformula is not inthe accordance with the market valuation(we study the situation of DAX options - ODAX, traded on EUREX exchange); we also suggest how to obtain the correct value, whichdoes not provide longtime advantagebetween holding a long ora short option position till expiration; or in other words, if we repetitively hold till expiration a long call (by the way of example) position, we will obtain zero P/L in longtime average. The discrepancy between market price and result of Black-Scholes formula is usually considered to be caused bya problematic underlying asset volatility expectation but from the research it is obvious that the presumption about the process which is used for adescription of underlying price development could be also the reason.The purpose of this research is also to simplify this theoretically complicated topic for financial practitioners. Keywords: call/put option; Black-Scholes formula, risk neutrality, DAX options