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T. C. Gard, Introduction to Stochastic Differential Equations, Marcel Dekker, Inc., 1988.

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Article

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

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


Journal of Finance and Economics. 2017, Vol. 5 No. 1, 34-37
DOI: 10.12691/jfe-5-1-4
Copyright © 2017 Science and Education Publishing

Cite this paper:
M. A. Jafari, 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.

Correspondence to: M.  A. Jafari, Department of Financial Sciences, Kharazmi University, P.O. Box 15875-1111, Tehran, Iran. Email: m.a.jafari.math@gmail.com, m.a.jafari@khu.ac.ir

Abstract

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.

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