What should i write inside JOptionPane.YES_NO_OPTION

Question

so everytime i close my program obviously a window pops up asking if i want to close the app but im not sure what im suppose to write inside if NO is chosen.

right now everytime i press no the GUI closes.

        ex.addWindowListener(new WindowAdapter() {
            public void windowClosing(WindowEvent e) {
                // Ask for confirmation before terminating the program.
                int option = JOptionPane.showConfirmDialog(
                        ex,
                        "Are you sure you want to close the application?",
                        "Close Confirmation",
                        JOptionPane.YES_NO_OPTION,
                        JOptionPane.QUESTION_MESSAGE);
                if (option == JOptionPane.YES_OPTION) {
                    System.exit(0);
                }

            }
        });
    }

tried inserting a few different methods and codes I've found online.