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Cox-Ingersoll-Ross model
       
 
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Cox-Ingersoll-Ross model

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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.
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