1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2008
Measuring the "non-stopping timeness" of ends of previsible sets
Ju-Yi Yen, Marc Yor
In this paper, we propose several "measurements" of the "non-stopping timeness" of ends g of previsible sets, such that g avoids stopping times, in an ambiant filtration. We then s…
math.PR2008★ 1 cited
Call option prices based on Bessel processes
Ju-Yi Yen, Marc Yor
As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", we show that the call option prices associated with the Bessel s…
q-fin.TR2008
Stochastic resonance and the trade arrival rate of stocks
A. Christian Silva, Ju-Yi J. Yen
We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine…