chengzhifu2013 发表于 2015-8-30 10:46 
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不过我所理解的美式put可能提前行权的主要原因是股价下行空间有限所致，一旦股价 ...
You always compare waiting value Vs exercise value
Exercise value is straightforward while waiting is a little tricky because when you wait for something you always sacrifice something else. In this case, it is you want insurance value but with the cost of time value of money. What you said "更为有利“ "更“ is still a comparison. Why it can be "more"? Of course you are comparing with something else which is obviously WAITTING. So still time value of money (or more comprehensively, financing cost) and insurance value come into play. The explanation with my theory is because deep in the money put option does not have much insurance value from the volatility. It is almost the same as shorting a forward (The delta is close to -1) which does not have value contributed by vol.
There is no need to quantify, because you know there is a point when this can happen. Just like the proof of solution existence in math. To quantify the value, I think there is a naive way to do this. Firstly find the point where European put option has zero time value. Then change r=0 and see what is the time value (x) because that would mean all the time value is contributed by the volatility. Then the time value contributed by financial cost should be -x. Or we can do in a reverse way set vol=0 (or a very small number because BS does not allow vol=0) then the time value would all come from interest rate. Hopefully this will work. Again, this way of decomposition is proposed by myself. There might be some problem inside. It is a good way of thinking to explain some common options questions. To quantify, we may need more work.
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