Embedding the Vasicek model into the Cox
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W. Sinkala; P. G. L. Leach; J. G. O'Hara
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Article
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2010
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John Wiley and Sons
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English
β 138 KB
The Cox-Ingersoll-Ross (CIR) model and the Vasicek model are two well-known single factor models of the interest spot rate. In this paper, we construct a mapping by means of which the price of a zero-coupon bond in the CIR model may be obtained from a corresponding price in the Vasicek model. We use