3 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.PR2013
Option pricing, Bayes risks and Applications
Yannis G. Yatracos
A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-…
math.ST2013★ 1 cited
Concerns on Monotonic Imbalance Bounding Matching Methods
Yannis G. Yatracos
Concerns are expressed for the Monotonic Imbalance Bounding (MIB) property (Iacus et al. 2011) and for MIB matching because i) the definition of the MIB property leads to inconsist…
math.PR2009★ 3 cited
The asymptotic distribution of a cluster-index for i.i.d. normal random variables
Yannis G. Yatracos
In a sample variance decomposition, with components functions of the sample's spacings, the largest component is used in cluster detection. It is shown for normal sam…