System, method and computer program product for determining a minimum asset value for exercising a contingent claim of an option
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United States of America Patent
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Apr 13, 2010
Grant Date -
Jul 12, 2007
app pub date -
Dec 20, 2006
filing date -
Jul 10, 2001
priority date (Note) -
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status (Latency Note)
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Abstract
A system, method and computer program product are provided for determining a minimum future benefits value for exercising a contingent claim of an option. The method may include determining a present value distribution of contingent future benefits at an expiration exercise point, and present values of respective exercise price(s) at the expiration exercise point and one or more decision points before that point, including discounting a respective distribution and values according to first and second discount rates, respectively. The method may also include defining a value as a function of a variable asset value at a selected decision point, the value being determinable based upon the present value distribution and present values, where the present value distribution may be correlated with the asset value. The function may then be solved for a root thereof, the root being selected as a minimum asset value.
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