Over‐the‐Counter Option Market Dividend Protection and “Biases” in the Black‐Scholes Model: A Note
指出，大多数场外期权有股息保护，这阻止了美式看涨期权的提前行权，但其市场价值仍系统性地偏离布莱克-舒尔斯模型对无股息股票欧式期权的定价，偏差与股票收益方差和到期时间有关，但金额很小。
ABSTRACT Most options are traded over‐the‐counter (OTC) and are dividend “protected;” the exercise price decreases on the ex date by an amount equal to the dividend. This protection completely inhibits the early exercise of American call options. Nevertheless, OTC‐protected options have market values which differ systematically from Black‐Scholes values for European options on non‐dividend paying stocks. The pricing difference is related to both the variance of the underlying stock return and to time until expiration of the option, but it is quite small in dollar amount.