Valuation of inflation-linked annuities in a Lévy market
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.
scientific article; zbMATH DE number 5964462