RESUMEN

In this paper we shall prove that the calibration problem for the extended CIR model in [J. Hull and A. White, Rev. Financial Studies, 3 (1990), pp. 573-592] has a unique solution. The constructive proof leads to a numerical algorithm for computing the approximations of the time-dependent parameters and the zero-coupon bond prices. The results are also extended to multifactor CIR (Cox--Ingersoll--Ross) models. Numerical results are presented to examine the accuracy of our algorithm and to compare the extended CIR model with the Vasicek models.