请教 金融随机分析第一卷中的问题

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英文版P113有一句“...，but this may be overcome by a second effect .”
What is the second effect ???

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关键词：金融随机分析 随机分析 Overcome Effect Second overcome second 英文版

Ok,

the first effect generally means for put option, the value of the option tend to rise if it has a longer time to maturity (more insurance value).

However,

For put option, one can sell the stock and receive the cash K. One may tend to get this K as soon as possible so that he will gain more time value of money (e.g. deposit K to get more interest). This second effect makes the put option's value can be lower as the time to maturity goes up. For deep in the money put, this effect is so huge that make the time value of the option to become negative. So this is why the american put may be early exercised.

Best,

Chemist_MZ 发表于 2013-7-18 02:44
Ok,

the first effect generally means for put option, the value of the option tend to rise if it  ...

Do Bermuda put options have the same second effect as American put options，or not？

xuruilong100 发表于 2013-7-18 09:28
Do Bermuda put options have the same second effect as American put options，or not？

yes, I think so