Real-time empirical evidence for loss aversion in option pricing - case of call options
- by Dr. Ye: gye3 at JHU dot EDU
Current EST time: 13-Mar-10 : 12:08:01
(see the real-time t-test result for this time at the bottom of the table)
Tickpremium change due to lossdue to same gainLoss-gain
ACH0.650.350.3
ACI0.820.380.44
ACL5.062.652.41
GOOG6.43.62.8
MSFT0.860.350.51
ACO2.20.12.1
ACS000
IBM2.820.292.53
MMM4.751.513.24
C0.860.090.77
CA2.550.32.25
CAB1.350.051.3
MOT0.880.130.75
CAH-9.459.76-19.21
CAJ4.450.054.4
CAL1.30.650.65
CAT1.960.871.09
CAM10.450.55
FAZ0.560.210.35
CAR2.71.051.65
ORCL0.820.270.55
DCI2.850.252.6
T0.590.060.53
CBS0.380.150.23
BAC0.70.170.53
AIG0.980.760.22
L2.55-0.072.62
IBM2.820.292.53
INTC000
GS3.371.731.64
FAZ0.560.210.35
FAS0.650.520.13
mean(of diff)=0.65; std=3.74; t(31)=0.98; p-value=0.16354306