The CIR model: A. Assumes interest rates are not mean reverting. B. Has a drift term that
Question:
The CIR model:
A. Assumes interest rates are not mean reverting.
B. Has a drift term that differs from that of the Vasicek model.
C. Assumes interest rate volatility increases with increases in the level of interest rates.
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C is correct The drift term of the CIR model is identical to that of ...View the full answer
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