The model is: [$] dx(t) = [y(t) - \chi x(t)] dt + \sigma(t, x(t)) dW(t)\\ dy(t) = [\sigma(t, x(t))^2 - 2\chi y(t)] dt\\ x(0) = y(0) = 0\\ \sigma(t, x) = \alpha(t) + \beta(t)x\\ r(t) = f(0, t) + x(t) [$] Then, the pricing pde is [$] \partial_t v(t, x, y) + \frac{\sigma(t, x)^2}{2}\partial^2_x v(t, x,...