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: 10-Mar-10 : 04:35:42
(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
ACH0.70.250.45
ACI0.510.310.2
ACL2.40.51.9
GOOG6.13.752.35
MSFT0.640.210.43
ACO2.92.20.7
ACS000
IBM4.041.512.53
MMM4.222.172.05
C0.760.050.71
CA2.350.51.85
CAB1.85-0.051.9
MOT0.850.10.75
CAH-9.39.76-19.06
CAJ3.950.053.9
CAL0.70.530.17
CAT1.440.580.86
CAM1.961.20.76
FAZ0.440.20.24
CAR1.30.031.27
ORCL0.720.220.5
DCI3.050.053
T0.560.080.48
CBS1.580.471.11
BAC0.670.180.49
AIG0.430.64-0.21
L2.752.50.25
IBM4.041.512.53
INTC0.740.230.51
GS3.11.561.54
FAZ0.440.20.24
FAS0.50.6-0.1
mean(of diff)=0.45; std=3.64; t(31)=0.7; p-value=0.24196358