Suppose that the yield, AR, on a zero-coupon bond follows the process dR = dt + dz

Suppose that the yield, AR, on a zero-coupon bond follows the process

dR = μdt + σdz

where μ and σ 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.