The basic contracts traded on energy exchanges involve fixed-rate payments for the delivery of electricity over a certain period of time. It has been shown that options on these electricity swaps can be priced efficiently using a Hilbert space-valued time-inhomogeneous jump-diffusion model for...

The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixed-rate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions....