How Do Layer 2 Solutions Mitigate the Impact of Gas Fees on the Black-Scholes or Other Options Pricing Models?

Layer 2 solutions mitigate the impact of gas fees by drastically reducing the transaction costs associated with creating, trading, and settling options. By batching transactions, the per-transaction cost is significantly lower and more predictable.

This means that the "gas cost" component that would otherwise need to be factored into the option's premium in the pricing model becomes negligible. This allows the on-chain price to more closely reflect the theoretical value derived from models like Black-Scholes, without being distorted by high and volatile network fees, leading to more efficient markets.