Hi all,A very simple question, but I cant seem to prove the answer one way or the other. Your help would be much appreciated.At time t0, I am long a vanilla American option on an equity, with strike X. This option starts at t1 and expires at t2. Is the value of this option the same as going long an American option starting at t0 and expiring at t2, and going short an American option starting at t0 and expiring at t1?Thanks in advance,Cheers,Donal

QuoteOriginally posted by: donalHi all,A very simple question, but I cant seem to prove the answer one way or the other. Your help would be much appreciated.At time t0, I am long a vanilla American option on an equity, with strike X. This option starts at t1 and expires at t2. Is the value of this option the same as going long an American option starting at t0 and expiring at t2, and going short an American option starting at t0 and expiring at t1?Thanks in advance,Cheers,DonalI don't think so. Suppose the underling stock price is much greater than X and the company will pay a large dividend prior to t1.In the second case, you'll exercise your long option and be assigned on your short, ending up with no position when t1 rolls around. In the first case, you'll have a long american option position after t1.