Cox, Ingersoll, Ross Option-Pricing Model
Definition
Mathematical formula for pricing interest rate options. A single factor (and not binomial) model, it is based on the assumption that the movement of short-term interest rates fits the pattern of a square root diffusion model with mean reversion, and does not permit negative interest rates.
Cox, Ingersoll, Ross Option-Pricing Model is in the Banking, Commerce & Finance, Disaster Planning & Risk Management, Investing, Securities & Futures Trading and Statistics, Mathematics, & Analysis subjects.
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