  In this study we consider the pricing of energy derivatives when the
evolution of spot prices is modeled with a normal tempered stable driven
Ornstein-Uhlenbeck process. Such processes are the generalization of normal
inverse Gaussian processes that are widely used in energy finance applications.
We first specify their statistical properties calculating their characteristic
function in closed form. This result is instrumental for the derivation of
non-arbitrage conditions such that the spot dynamics is consistent with the
forward curve without relying on numerical approximations or on numerical
integration. Moreover, we conceive an efficient algorithm for the exact
generation of the trajectories which gives the possibility to implement Monte
Carlo simulations without approximations or bias. We illustrate the
applicability of the theoretical findings and the simulation algorithms in the
context of the pricing of different contracts, namely, strips of daily call
options, Asian options with European style and swing options. Finally, we
present an extension to future markets.
