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 -martingale measure which we use for computing discounted expectations. We give explicit results for together with explicit results for the price of the annuity.
"Valuation of Inflation-Linked Annuities in a Lévy Market." J. Appl. Math. 2011 1 - 15, 2011. https://doi.org/10.1155/2011/897954