CIR bond pricing
= CIR bond pricing
{c}
{title2=$P(t,T)=A(T-t)e^{-B(T-t)r_t}$}
For the <CIR model> under its money-market <risk-neutral measure>, the <Feynman-Kac formula> gives $B'=1-bB-\sigma^2B^2/2$ and $A'/A=-aB$, with $B(0)=0$, $A(0)=1$. Solving this <Riccati equation> gives explicit exponential-affine <zero-coupon bond> prices. The positive root parameter is $\sqrt{b^2+2\sigma^2}$; the squared diffusion coefficient, not the volatility itself, enters this expression.