In the Cox-Ingersoll-Ross (CIR 1985)model,you Are Given That $d r _ { t } = x \left( \theta - r _ { t } \right) d t + \sigma \sqrt { r _ { t } } d W _ { t }$

question 12

Multiple Choice

In the Cox-Ingersoll-Ross (CIR 1985) model,you are given that $d r _ { t } = x \left( \theta - r _ { t } \right) d t + \sigma \sqrt { r _ { t } } d W _ { t }$ where $x = 0.5$ , $\theta = 0.06$ , $\sigma = 0.10$ ,and the current short rate of interest is $r _ { 0 } = 0.08$ .What is the expected short rate of interest one year hence?

• A)6.6%
• B)7.2%
• C)7.6%
• D)8.2%

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