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Valuation of Inflation‐Linked Annuities in a Lévy Market

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  • Sure Mataramvura

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 fq‐martingale measure Qq which we use for computing discounted expectations. We give explicit results for Qq together with explicit results for the price of the annuity.

Suggested Citation

  • Sure Mataramvura, 2011. "Valuation of Inflation‐Linked Annuities in a Lévy Market," Journal of Applied Mathematics, John Wiley & Sons, vol. 2011(1).
    • Handle: RePEc:wly:jnljam:v:2011:y:2011:i:1:n:897954
    DOI: 10.1155/2011/897954
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    References listed on IDEAS

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    1. Robert Jarrow & Yildiray Yildirim, 2008. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 16, pages 349-370, World Scientific Publishing Co. Pte. Ltd..
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