A Short Remark on Feller’s Square Root Condition

3 Pages Posted: 7 Feb 2011

Date Written: February 6, 2011

Abstract

In this notice we present a short proof of the existence and uniqueness of the positive solution of the popular SDE known in finance as CIR model.

Keywords: Interest rate model, square root model, CIR, stochastic differential equation, Feller’s square root condition

JEL Classification: C60, G12, G13

Suggested Citation

Gikhman, Ilya I., A Short Remark on Feller’s Square Root Condition (February 6, 2011). Available at SSRN: https://ssrn.com/abstract=1756450 or http://dx.doi.org/10.2139/ssrn.1756450

Ilya I. Gikhman (Contact Author)

Independent ( email )

6077 Ivy Woods Court
Mason, OH 45040
513-573-9348 (Phone)

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