5 citations · 10 across the 4 of their papers we have counts for
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q-fin.MF2026
Buying at Support: The Entry Problem under Multi-Skew Brownian Motion
Jun Maeda
We study when to buy a share that will later be sold optimally, when the price follows a geometric multi-skew Brownian motion whose skew levels model support and resistance. The re…
q-fin.PR2026
Basket implied volatility skew and stickiness
Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility. The fluctuation of the in…
q-fin.MF2026
Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
Jun Maeda
We solve the perpetual liquidation problem for a geometric multi-skew Brownian motion carrying local-time pushes upward at a support level and downward at a resistance level, a mod…