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~isPartOf:"Economics Papers from University Paris Dauphine"
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Electricity spot and forward prices
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capacity
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electricity demand
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extended incomplete Goodwin–Staton integral
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local risk minimization
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A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives
Langrené, Nicolas
;
Campi, Luciano
;
Aïd, René
-
Université Paris-Dauphine (Paris IX)
-
2013
market incomplete. We follow a
local
risk
minimization
approach to price and hedge energy derivatives. Despite the richness …
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