Estimating the firm value distribution function by entropy optimization and geometric programming

DOI10.1023/A:1013397314149MaRDI QIDQ5959327zbMATH OpenOpenAlexFDO

Authors J. R. Rajasekera, M. Yamada

Publication date 26 March 2002

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013397314149

zbMATH Keywords

entropy optimizationgeometric programmingMonte Carlo simulationoption pricing

Mathematics Subject Classification ID

Nonlinear programming (90C30) Approximation methods and heuristics in mathematical programming (90C59)

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Cited in

(1)

• A tutorial on geometric programming

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Uses Software

• LINGO

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