  Using a fast numerical technique, we investigate a large database of investor
suboptimal non-exercise of short maturity American call options on
dividend-paying stocks listed on the Dow Jones. The correct modelling of the
discrete dividend is essential for a correct calculation of the early exercise
boundary as confirmed by theoretical insights. Pricing with stochastic
volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a
quarter the amount lost by investors through suboptimal exercise. The remaining
three quarters are largely unexplained by transaction fees and may be
interpreted as an opportunity cost for the investors to monitor optimal
exercise.
