SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT FOR DETERMINING A MINIMUM ASSET VALUE FOR EXERCISING A CONTINGENT CLAIM OF AN OPTION

SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT FOR DETERMINING A MINIMUM ASSET VALUE FOR EXERCISING A CONTINGENT CLAIM OF AN OPTION

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...

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Bibliographische Detailangaben
Hauptverfasser: FORGIE CHRISTOPHER A, NAKAMOTO KYLE M, MATHEWS SCOTT H, DATAR VINAY T
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung: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 prices at the expiration exercise point and one or more decision points before that point. Determining these present value distribution and present values may include discounting a distribution and respective values according to first and second discount rates, respectively. The method may also include repeatedly determining, for a plurality of forecasted asset values at a selected decision point, respective values based upon the present value distribution and the present values, where the respective values may be conditioned on the forecasted asset values. A forecasted asset value that maximizes the value may then be selected.