A Short Remark on Feller’s Square Root Condition
3 Pages Posted: 7 Feb 2011
Date Written: February 6, 2011
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: Suggested Citation