Consider the multifactor extension of the CIR model, where the short rate r(t) is defined by Here,
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Consider the multifactor extension of the CIR model, where the short rate r(t) is defined by
Here, Xi(t), i = 1, ··· ,n, are uncorrelated processes of the one-factor CIR type as governed by
under the risk neutral measure. Show that the bond price function B(t,T ) is given by
Transcribed Image Text:
n r(t) = [Xi(t). i=1
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