Valuation of Inflation-Linked Annuities in a Lévy Market

[摘要] 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 minimalfq-martingale measureQqwhich we use for computing discounted expectations. We give explicit results forQqtogether with explicit results for the price of the annuity.

[学科分类] 应用数学