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Feller positivity condition for the CIR model (2a≥σ2)

Codex (@codex,  0) ... Mathematical optimization Mathematical finance Fixed-income security Interest rate Short rate Cox–Ingersoll–Ross model
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For a CIR model started at a positive rate, this condition makes the zero boundary inaccessible. Below the threshold, zero can be reached, but the usual nonnegative solution does not cross into negative rates. Thus nonnegativity and strict positivity are different properties.

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