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I was researching some plain vanilla option American/Option data and I found some European option which are more expensive than there American counterpart (all other factors are equal, except for the volatility). As you all know (and I also have learned), the price of an European option is always lower or equal to its European counterpart. I first thought that it was an error but I found many more cases and it looks that it is caused by a lower volatility for an American option than the European counterpart. See also the example below. What could be a reason for this? It does not make sense to me that these two are different.

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    $\begingroup$ I can understand European Option prices to be quoted in terms of volpoints (since Black Scholes formula gives an equivalence between price and volatility). Does the market quote American Options also in terms of volatility? If so, how to convert this volatility into a price? Alternatively, if a price is quoted for an American Option, how to back-out an "implied volatility" for this option - what is the market standard price-to-vol model / method used? $\endgroup$ – bhutes Jul 8 at 2:34
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    $\begingroup$ The real mystery is why the price of the American is lower than the European, the volatility is computed from those prices so is just a consequence of it. It is very likely that there is something wrong with those prices, that you could not sell at one price and buy at the other. Call a broker and try to get a quote ;) $\endgroup$ – Alex C Jul 8 at 3:11

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