Importance

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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 of an asset at a selected decision point, and a present value of an exercise price required to exercise a contingent claim at the selected decision point. Determining the present values of the asset and exercise price may include discounting a respective candidate minimum asset value and exercise price according to first and second discount rates, respectively. A first value may be determined based thereupon, and may be repeatedly determined (along with present values of the asset and exercise price) for one or more candidate minimum asset values to identify a candidate for which a first value approximately equals a second value representing a payoff attributable to the exercise of a contingent claim at the expiration exercise point.

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First Claim