Hello,All!I`d like to hear your opinion about the following.How would a price of a plain vanilla option change,if it would be forbitten to trade it till expiration.It means if you bought or sold an option,you have to hold it till expiration.What would be a price of such an option?It would be more,less or equal to regular plain vanilla?

I meant "forbidden" )

Forbidden == unable. Can't see why it would be different from a european. Edit: Mistook tradeability for execution. Ignore.

It seems to me that if you can trade the option till expiration you may have more chances to exit with profit...

Intuitively it would have to be cheaper than plain vanilla that is trade-able as you are foregoing the ability / liquidity of potentially realising a vega or delta profit.If you are wanting to get pedantic, one could start asking if the underlying is liquid and tradeable - ie can one perform dynamic delta / gamma hedging? Can you pledge the option to a prime broker and sell an OTC against it ie synthetically selling it? In which case the value would tend towards that of a conventional plain vanilla, but never reach it because of the hassle factor

I am talking about an option that is included into a structure product that is sold to clients.For ex., Client has an annualy dollar deposit (started,say,1/01/2011) with the following conditions:If Euro/dollar rate at 1/01/2012 is above a special level A,then a client will get ,say, 6% profit.If not, he gets euro equivalent of his initial investment in dollar.Inside this product we have short euro/dollar put.A client can not trade anything because he has a structure product with an option.So the question is if the included option should be/might be priced lower than regular euro/dollar put?

Typical buyers for structured products are retail investors. Those aren't interested in replicating an option value, but in getting exposure to an underlying, increasing yield or getting specific risk/reward profiles.The ultimate seller of the option does care about replicating the value of the option through trading of the underlying though and prices the option normally.

But given the changes in regulation will the ultimate seller still be able to get away with that ?

Not sure what regulations you specifically have in mind?If it's a short-selling ban you are talking about, yes that would have an impact. However, for "retail" products that might not be so much of a problem since the vast majority of "retail" products require the seller to hedge by buying deltas. Of course when you hedge with other options, this could imply that you occasionally still have to be short, but not that much/often I'd expect.