Journal of Finance and Economics
ISSN (Print): 2328-7284 ISSN (Online): 2328-7276 Website: Editor-in-chief: Suman Banerjee
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Journal of Finance and Economics. 2017, 5(1), 34-37
DOI: 10.12691/jfe-5-1-4
Open AccessArticle

The Moments for Solution of the Cox-Ingersoll-Ross Interest Rate Model

M. A. Jafari1, and S. Abbasian2

1Department of Financial Sciences, Kharazmi University, P.O. Box 15875-1111, Tehran, Iran

2Department of Drug and Food Control, Faculty of Pharmacy, Tehran University of Medical Sciences, Iran

Pub. Date: March 18, 2017

Cite this paper:
M. A. Jafari and S. Abbasian. The Moments for Solution of the Cox-Ingersoll-Ross Interest Rate Model. Journal of Finance and Economics. 2017; 5(1):34-37. doi: 10.12691/jfe-5-1-4


In finance, the Cox-Ingersoll-Ross model (or CIR model) explains the evolution of interest rates. This model has no general explicit solution. In this paper, the moments of solution for the CIR model are obtained explicitly.

Cox-Ingersoll-Ross model interest rate model the moments for solution of CIR model square-root diffusion

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