  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.
