Valuation of Inflation-Linked Annuities in a Lévy Market
Author
Source
Journal of Applied Mathematics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-07-27
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Mataramvura, Sure. 2011. Valuation of Inflation-Linked Annuities in a Lévy Market. Journal of Applied Mathematics،Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-506425
Modern Language Association (MLA)
Mataramvura, Sure. Valuation of Inflation-Linked Annuities in a Lévy Market. Journal of Applied Mathematics No. 2011 (2011), pp.1-15.
https://search.emarefa.net/detail/BIM-506425
American Medical Association (AMA)
Mataramvura, Sure. Valuation of Inflation-Linked Annuities in a Lévy Market. Journal of Applied Mathematics. 2011. Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-506425
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-506425
