Question: 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 + sx dz

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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