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

Multiple Choice

In the Cox-Ingersoll-Ross (CIR 1985) model, you are given that $d r _ { t } = \kappa \left( \theta - r _ { t } \right) d t + \sigma \sqrt { r _ { t } } d W _ { t }$ where $x = 0.5$ , $\theta = 0.06$ , $\sigma = 0.10$ . If the yield of a five-year bond is $0.07$ , then what is the price of the bond?

A) 0.65
B) 0.70
C) 0.75
D) 0.80