  Motivated by the Corns-Satchell, continuous time, option pricing model, we
develop a binary tree pricing model with underlying asset price dynamics
following It\^o-Mckean skew Brownian motion. While the Corns-Satchell market
model is incomplete, our discrete time market model is defined in the natural
world; extended to the risk neutral world under the no-arbitrage condition
where derivatives are priced under uniquely determined risk-neutral
probabilities; and is complete. The skewness introduced in the natural world is
preserved in the risk neutral world. Furthermore, we show that the model
preserves skewness under the continuous-time limit. We provide numerical
applications of our model to the valuation of European put and call options on
exchange-traded funds tracking the S&P Global 1200 index.
