Suppose that a = 0.1 and b = 0.1 in both the Vasicek and the Cox, Ingersoll,

Question:

Suppose that a = 0.1 and b = 0.1 in both the Vasicek and the Cox, Ingersoll, Ross model. In both models, the initial short rate is 10% and the initial standard deviation of the short rate change in a short time Δt is 0.02 √Δt. Compare the prices given by the models for a zero-coupon bond that matures in year 10.