Patent ID: 7747504
Filing Date: 2010-06-29
Classification: G06Q

Abstract:
1. A system for determining a minimum asset value for exercising a contingent claim of an option including one or more contingent claims exercisable at one or more of a plurality of decision points that includes an expiration exercise point and one or more decision points before the expiration exercise point, the system comprising: a processor configured to determine one or more present value distributions of contingent future value attributable to the exercise of one or more contingent claims at one or more of the expiration exercise point or at least one of the one or more decision points before the expiration exercise point, the one or more present value distributions comprising respective one or more distributions of contingent future value discounted according to a first discount rate, wherein the processor is configured to determine one or more present values of respective exercise prices required to exercise one or more contingent claims at one or more of the expiration exercise point or at least one of the one or more decision points before the expiration exercise point, the one or more present values of respective exercise prices comprising respective exercise prices discounted according to a second discount rate, wherein the processor is configured to determine a value based upon one or more of the one or more present value distributions of contingent future value, and one or more of the one or more present values of respective exercise prices, the value being conditioned on a candidate minimum asset value for exercising a contingent claim at a selected decision point before the expiration exercise point, wherein the processor is configured to repeatedly determine a value for a plurality of candidate minimum asset values, and wherein the processor is configured to select a candidate minimum asset value that maximizes the value, the respective minimum asset value being selected as the minimum asset value for exercising the contingent claim at the selected decision point.