20. Using Monte Carlo, simulate the process dr = a(b r)dt + rdZ, assuming that r = 6%, a = 0.2, b

20. Using Monte Carlo, simulate the process dr = a(b − r)dt + σ

√

rdZ, assuming that r = 6%, a = 0.2, b = 0.08, φ = 0 and σ = 0.02. Compute the prices of 1-, 2-, and 3-year zero coupon bonds, and verify that your answers match those of the Cox-

Ingersoll-Ross formula. What numerical problem can arise in this simulation? How did you address it?