The formal solution to a two-factor option pricing model in which a short-term rate and a bond yield are taken as instrumental variables is shown to explode. There are no real-valued solutions to the diffusion equations written down for the long and short rate by Brennan and Schwartz.
"Problems in Certain Two-Factor Term Structure Models." Ann. Appl. Probab. 3 (2) 576 - 581, May, 1993. https://doi.org/10.1214/aoap/1177005438