A case study on different one-factor Cheyette models for short maturity caplet calibration

Fuente: arXiv

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Bibliographic Details
Main Authors:	Polala, Arun Kumar, Hientzsch, Bernhard
Format:	Preprint
Published:	2024
Subjects:	Computational Finance Numerical Analysis Mathematical Finance
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2408.11257