The discounting of very long-term cash-flows is crucial for the valuation of long-term investment projects. In this paper, we analyze the market prices of US government bonds with very long-term time-to-maturity, and emphasize some statistical specificities of very long-term zero-coupon rates,...

In this paper, using a conception of continuous coupon bond with continuous accrual of coupons on simple fixed rate for pricing a risky zero-coupon bond is considered. It is shown that only employing this conception allows obtaining explicit equation for price of risky zero-coupon bond from...

Coupon and principal STRIPS maturing at the same date often trade at different yields. This paper analyzes for the first time the maturity structure of these differences for the U.S. Treasury STRIPS market and surprisingly finds that short-term coupon STRIPS persistently trade at lower yields...