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Suppose that x is the yield to maturity with continuous compounding on a zero-coupon bond that pays off $1 at time T. Assume that x

Suppose that x is the yield to maturity with continuous compounding on a zero-coupon bond that

pays off $1 at time T. Assume that x follows the process

dx = a (x0 x) dt + sxdz

where a, x0, and s are positive constants and dz is a Wiener process. What is the process followed

by the bond price?

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