Valuation of inflation-linked annuities in a Lévy market. (English) Zbl 1229.91320

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.


91G20 Derivative securities (option pricing, hedging, etc.)
91B30 Risk theory, insurance (MSC2010)
91G80 Financial applications of other theories
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