  In this paper, we extend the market price of risk for delivery periods (MPDP)
of electricity swap contracts by introducing a dimension for jump risk. As
introduced by Kemper et al. (2022), the MPDP arises through the use of
geometric averaging while pricing electricity swaps in a geometric framework.
We adjust the work by Kemper et al. (2022) in two directions: First, we examine
a Merton type model taking jumps into account. Second, we transfer the model to
the physical measure by implementing mean-reverting behavior. We compare swap
prices resulting from the classical arithmetic (approximated) average to the
geometric weighted average. Under the physical measure, we discover a
decomposition of the swap's market price of risk into the classical one and the
MPDP.
