Patent ID: 7739176
Filing Date: 2010-06-15
Classification: G06Q

Abstract:
1. A system for performing a contingent claim valuation of an early-launch option including a contingent claim exercisable at one of a plurality of decision points that include an expiration exercise point and one or more decision points before the expiration exercise point, the system comprising: a processor configured to determine a first value representing a payoff attributable to exercise of a contingent claim at a selected decision point before the expiration exercise point, wherein the processor is configured to determine a second value representing a payoff attributable to the exercise of a contingent claim at the expiration exercise point, wherein the processor being configured to determine at least one of the first value or the second value includes being configured to determine at least one of the first value or the second value based upon a respective present value distribution of contingent future value and a respective present value of an exercise price, the present value distribution comprising a respective distribution of contingent future value discounted according to a first discount rate, and the present value of the exercise price comprising a respective exercise price discounted according to a second discount rate, and wherein the processor is configured to determine a value of the contingent claim based upon at least one of the first value or the second value.