Consider the Cox, Ingersoll, and Ross model where the current short-term rate is 2%, the long- run

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Consider the Cox, Ingersoll, and Ross model where the current short-term rate is 2%, the long- run mean is 6%, the instantaneous standard deviation is 10%, and the rate of adjustment is 0.4. Derive the interest rates for 1,2,3,4, and 5 year maturities.
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Financial Theory and Corporate Policy

ISBN: 978-0321127211

4th edition

Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri

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