Valuation of Inflation-Linked Annuities in a Lévy Market

Sure Mataramvura

doi:10.1155/2011/897954

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Home > Journals > J. Appl. Math. > Volume 2011 > Article

2011 Valuation of Inflation-Linked Annuities in a Lévy Market

Sure Mataramvura

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

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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.