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16-022/IV - Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment


  • Authors
    Luiz Felix, VU University Amsterdam, the Netherlands; Roman Kraussl, University of Luxembourg, Luxemburg; Philip Stork, VU University Amsterdam, the Netherlands
  • Publication date
    April 1, 2016
  • Keywords
    Cumulative prospect theory, Market sentimen, Risk-neutral densities, Call options
  • JEL
    G02, G12