Most contingent claims are dependent on an underlying asset.
But, electricity at the spot market cannot be stored, which leads to an incomplete market. Even though the main task in this thesis deals with the futures market, the situation at the spot market has to be taken into consideration. Therefore, price calculations have to rely on a different technique than the original Black-Scholes analysis. The main difference will be the need to estimate a parameter called the market price of risk. This process consists of a Wiener increment added to a deterministic function.