Abstract In this paper we propose a model of electricity market based on the forward rate dynamics described by a diffusion with jumps as a generalization of the classical diffusion approach. We consider jump components resulting from a coupled continuous-time random walk (CTRW) with jump lengths proportional to the corresponding inter-jump time intervals. In the framework of the model we derive a formula for the EURO-price of a standard European call option, showing applicability of CTRW processes for pricing of financial instruments. The result, obtained by an advance theory of semimartingales, is an essential extension of the pricing formula derived in the classical diffusion model of the forward rate dynamics. It indicates an influence of both, the continuous and the jump parts of the forward rate process on the option price.