What is the result corresponding to that given in Problem 31 7, for the CIR model Use maximum likelhood methods to estimate the a, b, and parameters for the CIR model using the same data as that used for the Vasicek model in Section 31 4 (see www 2 rotman utoronto ca hull VasicekCIR) Setting the ma...

In the case of the CIR model the change r i r i 1 is normally distributed with mean a b r i 1 and va ...

What is the result corresponding to that given in Problem 31.7, for the CIR model. Use maximum

Question:

What is the result corresponding to that given in Problem 31.7, for the CIR model. Use maximum likelhood methods to estimate the a, b, and σ parameters for the CIR model using the same data as that used for the Vasicek model in Section 31.4 (see www-2.rotman.utoronto.ca/_hull/VasicekCIR). Setting the market price of risk equal to k√r use the market data in Table 31.1 to estimate the best fit k.