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Valuation of inflation-linked annuities in a Lévy market
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نویسنده
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mataramvura s.
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منبع
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journal of applied mathematics - 2011 - دوره : 2011 - شماره : 0
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چکیده
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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. © 2011 sure mataramvura.
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آدرس
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department of actuarial sciences,school of management studies,university of cape town,cape town, South Africa
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Authors
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