Welcome to the hotseat. We've prepared a guide if you'd like to read more about how it works.

Cox-Ingersoll-Ross Inequality

0 votes
asked Jun 3 in BUS 4028F - Financial Economics by Daniel (490 points)

Under the CIR Model, how do we know that the short rate \(r_t\) will never hit zero given that  \(\sigma^2\leq2\alpha \mu\)

How do we go about showing that this is the appropriate condition?

1 Answer

0 votes
answered Jun 3 by ErichMaritz (740 points)