Valuation of Inflation-Linked Annuities in a Lévy Market

Sure Mataramvura

Journal of Applied Mathematics, 2011, vol. 2011, 1-15

Abstract:

We study the problem of pricing an inflation adjusted annuity in a forward rates market with jumps. Since the market will be incomplete, we use the minimal f q -martingale measure Q q which we use for computing discounted expectations. We give explicit results for Q q together with explicit results for the price of the annuity.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:897954

DOI: 10.1155/2011/897954

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