If the term structure model is Vasicek's model there is a solution for the price of an option on a zero coupon bond, due to Jamshidan (1989).
Under Vacisek's model the process for the short rate is assumed to follow.
Let be the time price of a zero coupon bond with a payment of $1
at time (the discount factor). The price at time of a European call
option maturing at time on on a discount bond maturing at time is( See
Jamshidan (1989) and Hull (1993))