The law of a mean-reverting (Ornstein-Uhlenbeck) process driven by a compound Poisson with exponential jumps is investigated in the context of the energy derivatives pricing. The said distribution turns out to be related to the self-decomposable gamma laws, and its density and characteristic function are here given in closed-form. Algorithms for the exact simulation of such a process are accordingly derived with the advantage of being significantly faster (at least 30 times) than those available in the literature. They are also extended to more general cases (bilateral exponential jumps, and time-dependent intensity of the Poisson process). These results are finally applied to the pricing of  gas storages and swings under  jump-diffusion market models, and the apparent computational advantages of the proposed procedures are emphasized 
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. To this end, in this paper we present exact and fast methodologies for the simulation of the spot price dynamics modeled as the exponential of the sum of an Ornstein-Uhlenbeck and an independent pure jump process, where the latter one is driven by a compound Poisson process with (bilateral) exponentially distributed jumps. These methodologies are finally applied to the pricing of Asian options, gas storages and swings under different combinations of jump-diffusion market models, and the apparent computational advantages of the proposed procedures are emphasized .
R
The law of a mean-reverting (Ornstein-Uhlenbeck) process driven by a compound Poisson with exponential jumps is investigated in the context of the energy derivatives pricing. The said distribution turns out to be related to the self-decomposable gamma laws, and its density and characteristic function are here given in closed-form. Algorithms for
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. To this end, in this paper we present exact and fast methodologies for the simulation of
R
exact simulation
spot price dynamics modeled as the exponential
R
such a process are accordingly derived with the advantage of being significantly faster (at least 30 times) than those available in the literature. They are also extended to more general cases (bilateral exponential jumps, and time-dependent intensity of the Poisson process). These results
the sum of an Ornstein-Uhlenbeck and an independent pure jump process, where the latter one is driven by a compound Poisson process with (bilateral) exponentially distributed jumps. These methodologies
A
Asian options,
A
different combinations of
A
.