Pricing of zero bond options

Following chapter (5.2) we obtain the price of a zero-coupon bond option by computing the risk-neutral probabilities 

Armed with the (log) bond price process (6.10) under the 7b-measure, we can derive a formula for the price of an option on a discount bond. This new solution extends the well known formula (5.27) by an additional correlation function c T,V) implied by the RF dW t,T). 

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