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Moreover, we also show that although the Normal distribution offers lower errors for short maturities, the Exponential distribution is quite accurate for long maturities. We also price natural gas options and we see that, in general, the model with the Normal jump size distribution underprices these options with respect to the Exponential distribution. Finally, we obtain the futures risk premia in both cases and we observe that for long maturities the term structure of the risk premia is negative. 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