The CIR model: A. Assumes interest rates are not mean reverting. B. Has a drift term that

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The CIR model:

A. Assumes interest rates are not mean reverting.

B. Has a drift term that differs from that of the Vasicek model.

C. Assumes interest rate volatility increases with increases in the level of interest rates.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 05, 2023 01:30 AM

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The CIR model: A. Assumes interest rates are not mean reverting. B. Has a drift term that

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C is correct The drift term of the CIR model is identical to that of ...View the full answer

Fixed Income Analysis

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