Given that there are no pain receptors in the brain, how do we experience the pain of headaches and migraines?

I understand that there are no pain receptors in the brain, so people undergoing brain surgery can be alert, with anaesthetic administered only locally to the scalp.
If this is so, how do we experience the pain of headaches and migraines, especially those that seem to come from a specific point inside the head and which throb and radiate from that point?

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