Patent ID: 7752113

Claim:
A system for performing a contingent claim valuation of a multi-stage option including a plurality of contingent claims exercisable at a plurality of respective exercise points that include an expiration exercise point and one or more exercise 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 the contingent claim 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 exercise prices required to exercise the contingent claim at respective exercise points, the present values of exercise prices comprising exercise prices at respective exercise points discounted according to a second discount, and wherein the processor is configured to determine a value of the contingent claim based upon the present value distribution of contingent future benefits and the present values of exercise prices.