As the electricity market being deregulated， electricity derivatives gradually become a major form of electricity trade. Because electricity cannot be stored in large scale economically， the non-arbitrage principal as the core of the modern financial engineering is not valid for the pricing of electricity derivatives. The pricing of the electricity future， future option， single point option and some typical swing options is studied using the Black-76 formula and the affine jump-diffusion model and a new risk neutral framework for the pricing of electricity derivatives is proposed. Using analytical and Monte Carlo method， examples for some common electricity derivatives pricing are given based on the EEX market historical prices. The calculation results suggest that the pricing methods proposed in this paper have sound theoretical basis.