CC BY 4.0Hinderks, WiegerWiegerHinderksWagner, AndreasAndreasWagner2022-03-0510.5.20192019https://publica.fraunhofer.de/handle/publica/25748310.1016/j.eneco.2019.04.005In this paper, we introduce a model for the pricing of German intraday cap/floor futures, introduced by the EEX in 2015. We give a thorough overview of the German intraday market and in particular introduce the ID3 price index, which is the underlying for intraday cap/floor futures. To price these derivatives, we propose a Hull-White model from interest rate theory with seasonality from futures prices. We apply our theoretical results to market data and conduct an empirical analysis involving the initial fit and empirical distribution of intraday cap futures prices.enintraday cap/floor futureID3 price indexGerman intraday marketEnergiewende productHull-White model Factor model003333006519journal article