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.
J. Appl. Math.
2011:
1-15
(2011).
DOI: 10.1155/2011/897954