Suppose that the yield, R, on a zero-coupon bond follows the process dR = x dt +
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Suppose that the yield, R, on a zero-coupon bond follows the process dR = \x dt + a dz where n and a are functions of R and t, and dz is a Wiener process. Use Ito's lemma to show that the volatility of the zero-coupon bond price declines to zero as it approaches maturity.
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