On the Numerical Integration of the Cir Model

Under certain parameter restrictions, the exact solution of the Cox-Ingersoll-Ross (CIR) equation is obtained in closed form. This explicit solution is used to study several well-known numerical methods specifically proposed in the literature for approximating the solution to the CIR problem. The analysis includes the comparison of their strong order of convergence. The numerical experiments suggest that the theoretical results about the strong order of convergence of some methods are open to improvements