David J. Mauler

Oct 26, 2024 | scholarsarchive.byu.edu | David J. Mauler |James McDonald |James Mcdonald |Brigham Young

KeywordsInverse Hyperbolic Sine distribution, IHS, price formulaCollegeFamily, Home, and Social SciencesAbstractMy BYU ORCA grant provided valuable funding which allowed me to spend significant time on an interesting research question Dr. McDonald and I had considered late last year. We wanted to investigate whether the Inverse Hyperbolic Sine (IHS) distribution would allow for a more accurate option-pricing formula, extending the Black-Scholes formula which assumes a lognormal distribution.