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This article uses a Pirrong-Jermakyan framework to value options on electricity, including daily strike, monthly strike, and spark spread options. This framework posits that power prices depend on two state variables-load and fuel prices. Although variations in load explain a large fraction of variations in power spot prices, the model implies that power option prices do not vary strongly with load except very close to the expiry of daily strike and spark spread options due to the strong meandoi:10.2139/ssrn.869295 fatcat:ifszzdpwkfd5pasonbjko7co4q