| Original language | English |
|---|---|
| Number of pages | 21 |
| Journal | Quantitative Finance |
| Publication status | Accepted/In press - 28 Mar 2026 |
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Explicit local volatility formula for Cheyette-type interest rate models
- Alexander Gairat
- , Vyacheslav Gorovoy
- , Vadim Shcherbakov
Research output: Contribution to journal › Article › peer-review