I can't find anything that suits me. Need help on that. The best i can do is: If you write me a put, and I am deeply in the money, because it is European, I would prefer to take my intrinsic profits immediately (i.e., I would rather be nearer to expiration since only i get one exercise, than be further away from that event) rather than risk the reversion of the deep in the money-ness over time to something less.
But it doesn't suit me b/c you could apply that logic to a call. Also, it doesn't help with Hull's other exception (currency options).
I wondered if i could justify with volatility smile; i.e., the lower volatility associated with in the money ness. But i can't quite get there...
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