A new FFT-based characteristic function inversion method enables fast general simulation of Lévy-driven OU processes for energy derivative pricing, achieving an order of magnitude speedup over existing algorithms.
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Fast and General Simulation of L\'evy-driven Ornstein Uhlenbeck processes for Energy Derivatives
A new FFT-based characteristic function inversion method enables fast general simulation of Lévy-driven OU processes for energy derivative pricing, achieving an order of magnitude speedup over existing algorithms.