Abstract

BAIDYA, Tara Keshar Nanda  and  AIUBE, Fernando Antônio Lucena. Programação dinâmica aplicada a finanças. Prod. [online]. 1997, vol.7, n.2, pp. 131-137. ISSN 0103-6513.  http://dx.doi.org/10.1590/S0103-65131997000200002.

This paper shows the dynamic programming approach related to Finance Theory. We exhibit how to construct the optimal path, one of the most important aims in the Finance. Brennan and Shwartz (1985) derived their model to evaluate a project of mining using option pricing theory and arbitrage approach. This is an use of option theory to evaluate a real project. Here we obtain the same model as an example, using stochastic dynamic programming

Keywords : Stochastic Dynamic Programming; Continuous Time Finance; Engineering Economics.