The Guaranteed Minimum Maturity Benefit is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the financial dynamics, typically represented by interest...

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,...