In electricity markets futures deliver the underlying over a period and thus function as a swap contract . In this paper  we introduce a market price of risk for delivery periods of electricity swaps . In particular, we suggest a weighted geometric average of an artificial geometric electricity futures price over the corresponding delivery period. This leads to a geometric electricity swap price dynamics without any approximation requirements . Our framework allows to include typical features as the Samuelson effect, seasonalities as well as a stochastic volatilityin the absence of arbitrage. We show that our suggested model is suitable for pricing options on electricity swaps using the Heston method. Especially, we illustrate the related pricing procedure for electricity swaps and options in the setting of Arismendi et al. (2016), Schneider and Tavin (2018)  and Fanelli and Schmeck (2019)  .
In electricity markets , futures contracts typically function as a swap since they deliver the underlying over a period of time . In this paper , we introduce a market price for the delivery periods of electricity swaps , thereby opening an arbitrage-free pricing framework for derivatives based on these contracts. Furthermore, we use a weighted geometric averaging of an artificial geometric futures price over the corresponding delivery period. Without any need for approximations, this averaging results in geometric swap price dynamics . Our framework allows for including typical features as the Samuelson effect, seasonalities , and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in line with Arismendi et al. (2016), Schneider and Tavin (2018) , and Fanelli and Schmeck (2019) . A numerical study highlights the differences between these models depending on the delivery period .
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