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Home        Knowledge Base        Equity Derivatives and Structured Products Glossary        Cox-Ingersoll-Ross model

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Cox-Ingersoll-Ross model

Search definitions        Search   Cox-Ingersoll-Ross model In its simplest form this is a lognormal One-factor model of the term structure of Interest rates, which has the Short rate of Interest as its single source of uncertainty. The model allows for Interest rate Mean reversion and is also known as the square root model because of the assumptions made about the Volatility of the Short-term rate. The model provides closed-form solutions for prices of zero-Coupon bonds, and put and call options on those bonds. Posted by  Privatebanking.com     Back     Print     Email

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