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: 05-Feb-12 : 09:39:49
(see the real-time t-test result for this time at the bottom of the table)
Tick
premium change due to loss
due to same gain
Loss-gain
ACH
0
0
0
ACI
0.05
0.01
0.04
ACL
0
0
0
GOOG
0
0
0
MSFT
0.09
0.01
0.08
ACO
2.5
7.6
-5.1
ACS