Patent ID: 7761361

Claim:
A system for performing a contingent claim valuation of a combination option including one or more multi-stage contingent claims exercisable at respective one or more decision points, and an early-launch contingent claim exercisable at a decision point, the decision points including 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 the early-launch 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 the one or more multi-stage contingent claims at respective one or more decision points before the expiration exercise point, and a contingent claim at the expiration exercise point, wherein the processor is 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 of the combination option based upon at least one of the first value or the second value.