Patent ID: 7698189
Filing Date: 2010-04-13
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 a present value distribution of contingent future benefits attributable to the exercise of a contingent claim of the option at the expiration exercise point, the present value distribution comprising a distribution of contingent future benefits discounted according to a first discount rate, wherein the processor is configured to determine present values of respective exercise prices required to exercise one or more contingent claims of the option at the expiration exercise point and at least one of the one or more decision points before the expiration exercise point, the present values of respective exercise prices comprising respective exercise prices discounted according to a second discount rate, wherein the processor is configured to define a payoff value as a function of an asset value at a selected decision point before the expiration exercise point, the payoff value being defined based upon the present value distribution of contingent future benefits and present values of respective exercise prices, the present value distribution of contingent future benefits being correlated with the asset value at the selected decision point, and wherein the processor is configured to solve the function for a root thereof, the root being selected as the minimum asset value for exercising the contingent claim of the option at the selected decision point.