In this work, two models are proposed for electricity prices as energy commodity prices which in addition to mean-reverting properties have jumps and spikes, due to non-storability of electricity. The models are simulated using an Euler scheme, and then the Monte-Carlo method is used to estimate the expectation of the discounted cash-flow under historical probability, which is considered as the option price. A so called random variable simulation and a control variate method are then used to decrease, the discretization error and the Monte-Carlo error, respectively. As the option prices satisfy PDEchr('39')s associated with the models, by solving these PDEchr('39')s, numerically, we can find the option prices by a second method, thereby being able to make comparisons.