We extend the arithmetic multi-factor electricity spot price model proposed by Benth, Kallsen & Meyer-Brandis by adding … further derive pricing formulas for electricity forwards under future information and investigate the associated information …

of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an …, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period …