Journal of Mathematical Finance

Vol.2 No.1(2012), Paper ID 17606, 16 pages

DOI:10.4236/jmf.2012.21013

 

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

 

Stafford Johnson, Amit Sen, Brian Balyeat

 

Department of Finance, Xavier University, Cincinnati, USA
Department of Economics, Xavier University, Cincinnati, USA
Department of Finance, Xavier University, Cincinnati, USA

 

Copyright © 2012 Stafford Johnson, Amit Sen, Brian Balyeat et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


S. Johnson, A. Sen and B. Balyeat, "A Skewness-Adjusted Binomial Model for Pricing Futures Options—The Importance of the Mean and Carrying-Cost Parameters," Journal of Mathematical Finance, Vol. 2 No. 1, 2012, pp. 105-120. doi: 10.4236/jmf.2012.21013.

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