Valuation of Inflation-Linked Annuities in a Levy Market

被引：1

作者：

Mataramvura, Sure ^{[1
]}

机构：

[1] Univ Cape Town, Dept Actuarial Sci, Sch Management Studies, ZA-7701 Rondebosch, South Africa

来源：

JOURNAL OF APPLIED MATHEMATICS | 2011年

关键词：

D O I：

10.1155/2011/897954

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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 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.

引用

页数：15

共 6 条

[1]

Applebaum D., 2004, LEVY PROCESSES STOCH, V93

[2]

Fisher I., 1930, The theory of interest

[3] Pricing treasury inflation protected securities and related derivatives using an HJM model [J].