Hull-White option

Hull J, White A (1987) The Pricing of Options on Assets with Stochastic Volatilities. Journal of Finance 42 281-300. 

An example will provide an idea of how a variation of one of the models proposed by Hull and White described above by the first of equation (18.12) models can be nsed to price an option on a zero-coupon bond. If the assumptions are made that both P, the reversion rate, and o, the volatility, are constant then the model can be restated as... 

Hull, J., and A. White. 1988. An Analysis of the Bias Caused byaStochastic Volatility in Option Pricing. Advances in Futures and Options Research 3, 29—61. Ito, K. 1951. On Stochastic Differential Equations. American Mathematical Society A, 1-51. 

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