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

M. A. Jafari^1, 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

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

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.

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

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