Using principles from linear pricing (or risk-neutrality), derive a PDE for the price of a European call option on a non-dividend paying stock when interest rates are random, and the short rate follows Cox-Ingersoll-Ross dynamics. That is: dS = uSdt + oSdz dr = a(b r)dt + cvrdzz where Z1 and 22 are correlated Winner processes with correlation coefficient p. (i.e. E(dz, dzz)=pdt) (Hint: Your answer may contain a market price of risk.) =