Systems, methods and computer program products for performing a contingent claim valuation
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United States of America Patent
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Jun 19, 2012
Grant Date -
May 27, 2010
app pub date -
Jan 29, 2010
filing date -
Jul 10, 2001
priority date (Note) -
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status (Latency Note)
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Abstract
Systems, methods and computer program products for performing a valuation of a contingent claim, such as a call or a put, are provided that initially determine the present value distribution of contingent future benefits that is attributable to the exercise of a contingent claim, such as according to a jump-diffusion model. The present value of an exercise price, such as a distribution of contingent future investments of a distribution of contingent future investments, required to exercise the contingent claim is also determined. An average of the difference between the present value distribution of contingent future benefits and the present value of the contingent future investment is determined. By utilizing appropriate discount rates, the benefits and investment can be effectively valued, which, in turn, permits the contingent claim project to be effectively valued in an intuitive manner.
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