Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized features. We first state our model under the...

In this paper we propose a method for pricing Asian options in market models with the risky asset dynamics driven by a Hawkes process with exponential kernel. For these processes the couple (λ(t), X(t)) is affine, this property allows to extend the general methodology introduced by Hubalek,...