In the Cox-Ingersoll-Ross (CIR 1985)model,you Are Given That $d r _ { t } = x \left( \theta - r _ { t } \right) d t + \sigma \sqrt { r _ { t } } d W _ { t }$

In the Cox-Ingersoll-Ross (CIR 1985) model,you are given that $d r _ { t } = x \left( \theta - r _ { t } \right) d t + \sigma \sqrt { r _ { t } } d W _ { t }$ where $x = 0.5$ , $\theta = 0.06$ , $\sigma = 0.10$ ,and the current short rate of interest is $r _ { 0 } = 0.08$ .What is the expected short rate of interest one year hence?

A) 6.6%
B) 7.2%
C) 7.6%
D) 8.2%

Correct Answer:

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Access For Free