An American Call Is Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid
理论认为美式看涨期权除除息日前不应提前行权，但市场买价常低于实值短期期权的内在价值。本文推导了美式行权的流动性价值公式，并实证表明其常大于收取股息的理论价值。
Abstract Theory says an American call should never be exercised early, except possibly just before an ex-dividend date. But the best market bid is regularly lower than the intrinsic value for in-the-money short-maturity options. An American option can always be exercised to recover the intrinsic value, whereas selling a European call in the market may return considerably less. The article derives the liquidity value of American exercise in closed form as a function of the bid–ask spread and shows empirically that it is of comparable magnitude to, and often greater than, the theoretical value of American exercise to collect a dividend.