Comparison Study on Value and Exercise Time of Options with Same Intrinsic Valu

As an example, the values of continuous-dividend-paying call options and variable striking price options with the same intrinsic value at any time were respectively calculated by using the finite difference method. The research result shows that when the exercise price is variable, the typical conclusion,i.e. the non-dividend-paying American call option has no necessity to be exercised early, is correct only in the special case that the change in the exercise price is zero, and that the optionswith the same intrinsic value at any time have different values. In addition, the reasons for the difference and the factors influencing the difference were discussed.