English Abstract: They can be seen as the sum of a bond and an option (derivative component). The work explores some of the issues for the evaluation of the theoretical value (or fair value) of this type of bonds, providing an order of magnitude of the difference between the issue price (gross...

Standard theoretical model cannot generate positive and large real bond risk premium under power utility preferences. Following recent developments in equity premium literature we explore bond premium in a long run risk environment with generalized isoleastic preferences. This approach explains...