July 8th, 2009, 3:01 pm
Without giving a facetious answer this time I guess if you take "Black-Scholes option pricing theory" in its most general sense as being ways to calculate the value of max(x-const,0) under different assumptions of a stochastic process or distribution for the independent variable, then this sort of issue comes up in various stochastic controlproblems, although typically embedded in recursive equations.This relates to real options (as you have alluded to) and also to some problems in economics (although I have little or no experience of the latter).QuoteOriginally posted by: micha12QuoteOriginally posted by: hayes-Implied Vol-Vol Smiles-Approximate hedge ratiosWell, those have not been mentioned probably because they fall into group 1).I was interested in "original", non-standard applications the options theory, maybe even those not closely related to the financial field. Or maybe in the financial field, but cases where "options" are somehow embedded somewhere, and people do not even think of them as options, though it can be shown that they can be treated as such.My question could be quite vague, but I hope you understand )