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Capacity 1 Electricity demand 1 Electricity spot and forward prices 1 Extended incomplete Goodwin-Staton integral 1 Fuels 1 Local risk minimization 1 Minimal martingale measure 1 Power derivatives 1 Scarcity function 1 Spread options 1
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Free 1
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Book / Working Paper 1
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English 1
Author
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Aid, René 1 Campi, Luciano 1 Langrené, Nicolas 1
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HAL 1
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Working Papers / HAL 1
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RePEc 1
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A structural risk-neutral model for pricing and hedging power derivatives
Aid, René; Campi, Luciano; Langrené, Nicolas - HAL - 2010
in Aid et al. (2009). In particular a scarcity function is introduced to allow important deviations of the spot price …
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