Suppose that the (CIR) process for short-rate movement in the (traditional) risk-neutral
Chapter 31, Problem 31.28(choose chapter or problem)
Suppose that the (CIR) process for short-rate movement in the (traditional) risk-neutral world is dr ab r dt ffiffi r p dz and the market price of interest rate risk is . (a) What is the real world process for r? (b) What is the expected return and volatility for a 10-year bond in the risk-neutral world? (c ) What is the expected return and volatility from a 10-year bond in the real world? I
Unfortunately, we don't have that question answered yet. But you can get it answered in just 5 hours by Logging in or Becoming a subscriber.
Becoming a subscriber
Or look for another answer