  In this paper, we price the zero-coupon bond of the extended
Cox-Ingersoll-Ross model by a Dyson type formula established in one of the
authors' paper Jin, Peng and Schelllhorn (2016) using Malliavin calculus. This
formula provides a fast convergent series to represent the bond price, and it
depends on the given drift and volatility of the interest rate process but not
the instantaneous forward rate used in Maghsoodi (1996). This expression can be
also regarded as a new solution to a class of Reccati equations with
time-dependent coefficients.
