Valuation of Inflation‐Linked Annuities in a Lévy Market

Sure Mataramvura

Journal of Applied Mathematics, 2011, vol. 2011, issue 1

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 fq‐martingale measure Qq which we use for computing discounted expectations. We give explicit results for Qq together with explicit results for the price of the annuity.

Date: 2011
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https://doi.org/10.1155/2011/897954

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2011:y:2011:i:1:n:897954

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