1. Program 1. Computing the using the general formula (26)
restart:
Digits:=8:
N:=10:
K:=floor(N/2):
t:=1:
r[0]:=1:
kappa:=1:
theta:=0.45:
sigma:=1:
A:=exp(1)**(-kappa*t)*r[0]+theta*(1-exp(1)**(-kappa*t)):
B:=sigma*exp(1)**(-kappa*t):
expect:=evalf(add(binomial(N,j)*A**(K-2*j)*B**(2*j)*
((1/(2*kappa))*(exp(1)**(2*kappa*t)-1)),j=0..K));
M. A. Jafari et al. The Moments for Solution of the Cox-Ingersoll-Ross Interest Rate Model. Journal of Finance and
Economics, 2017, Vol. 5, No. 1, doi: /jfe-5-1-4
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