Question: Exercise 24.4.3 Describe an implicit method for term structure equation (24.14). You may simplify the short rate process to dr = (r ) dt +(r

Exercise 24.4.3 Describe an implicit method for term structure equation (24.14).

You may simplify the short rate process to dr = μ(r ) dt +σ(r )dW. Assume that

μ(r ) ≥ 0 and σ(0) = 0 to avoid negative short rates.

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