  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.
