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R. S. Johnson, J. E. Pawlukiewicz and J. Mehta, “Binomial Option Pricing with Skewed Asset Returns,” Review of Quantitative Finance and Accounting, Vol. 9, No. 1, 1997, pp. 89-101. doi:10.1023/A:1008283011490

has been cited by the following article:

• TITLE: A Skewness-Adjusted Binomial Model for Pricing Futures Options—The Importance of the Mean and Carrying-Cost Parameters

  AUTHORS: Stafford Johnson, Amit Sen, Brian Balyeat

  KEYWORDS: Options Pricing; Black-Scholes; Skewness

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.1, February 28, 2012

  ABSTRACT: In this paper, we extend the Johnson, Pawlukiwicz, and Mehta [1] skewness-adjusted binomial model to the pricing of futures options and examine in some detail the asymptotic properties of the skewness model as it applies to futures and spot options. The resulting skewness-adjusted futures options model shows that for a large number of subperiods, the price of futures options depends not only on the volatility and mean but also on the risk-free rate, asset-yield, and other carrying-cost parameters when skewness exists.