Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes

Most energy and commodity markets exhibit mean-reversion occasional distinctive price spikes, which result in demand for derivative products protect the holder against high prices. To this end, paper we present a few fast efficient methodologies exact simulation of spot dynamics modelled as exponential sum Gaussian Ornstein-Uhlenbeck process an independent pure jump process, where latter one is driven by compound Poisson with (bilateral) exponentially distributed jumps. These are finally applied to pricing Asian options, gas hydro storages swing options under different combinations jump-diffusion market models, apparent computational advantages proposed procedures emphasized.