Simulating Gamma-OU and bilateral Gamma-OU jump processes through a Polya-mixture of Erlangs is exact and substantially faster than direct jump simulation for pricing energy derivatives.
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Fast Pricing of Energy Derivatives with Mean-reverting Jump-diffusion Processes
Simulating Gamma-OU and bilateral Gamma-OU jump processes through a Polya-mixture of Erlangs is exact and substantially faster than direct jump simulation for pricing energy derivatives.