Valuation of inflation-linked annuities in a Lévy market
type: Item
instance of: scholarly article
title: Valuation of inflation-linked annuities in a Lévy market
zbMATH Open document ID: 1229.91320
DOI: 10.1155/2011/897954
author: Sure Mataramvura
published in: Journal of Applied Mathematics
publication date: 2011-10-27T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5964462
Wikidata QID: Q58690564
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2011/897954
OpenAlex ID: W2013994347
cites work: Minimal \(f^q\)-Martingale measures for exponential Lévy processes
cites work: Q4350437
cites work: Lévy Processes and Stochastic Calculus
description: scientific article; zbMATH DE number 5964462