Valuation of inflation-linked annuities in a Lévy market (Q642790)
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scientific article; zbMATH DE number 5964462
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of inflation-linked annuities in a Lévy market |
scientific article; zbMATH DE number 5964462 |
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Valuation of inflation-linked annuities in a Lévy market (English)
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27 October 2011
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Summary: 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.
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