Patent ID: 7676413
Filing Date: 2010-03-09
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 of the option 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 of the option at 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 payoff 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 payoff value being conditioned on a forecasted asset value at a selected decision point before the expiration exercise point, wherein the processor is configured to repeatedly determine a payoff value for a plurality of forecasted asset values, and wherein the processor is configured to select, from the plurality of forecasted asset values, a forecasted asset value that maximizes the payoff value, the respective forecasted asset value being selected as a minimum asset value for exercising a contingent claim of the option at the selected decision point.