Patent ID: 7747503

Claim:
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 of an underlying asset at a selected decision point before the expiration exercise point, the present value of the underlying asset comprising a candidate minimum asset value for exercising a contingent claim at the selected decision point, the candidate minimum asset value being discounted according to a first discount rate, wherein the processor is configured to determine a present value of an exercise price required to exercise a contingent claim at the selected decision point, the present value of the exercise price comprising an exercise price discounted according to a second discount rate, wherein the processor is configured to determine a first value based upon the present value of the underlying asset at the selected decision point and the present value of the exercise price at the selected decision point, wherein the processor is configured to determine a present value of an underlying asset and a first value for one or more candidate minimum asset values for the selected decision point, and wherein the processor is configured to select a candidate minimum asset value for a first value approximately equal to a second value representing a payoff attributable to the exercise of a contingent claim at the expiration exercise point, the respective minimum asset value being selected as the minimum asset value for exercising the contingent claim at the selected decision point.