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...

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...