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Cox-Ingersoll-Ross Inequality

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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

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answered Jun 3 by ErichMaritz (740 points)
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