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A structural risk-neutral model for pricing and hedging power derivatives

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https://hal.archives-ouvertes.fr/hal-00938253
Contributor : Serena Benassù <>
Submitted on : Wednesday, January 29, 2014 - 11:24:24 AM
Last modification on : Saturday, March 28, 2020 - 2:22:59 AM

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  • HAL Id : hal-00938253, version 1

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R. Aïd, L. Campi, N. Langrené. A structural risk-neutral model for pricing and hedging power derivatives. Mathematical Finance, Wiley, 2013, 23 (3), pp.387-438. ⟨hal-00938253⟩

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