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 asset value for exercising a contingent claim of an option. The method may include determining a present value conditional distribution of contingent future benefits attributable to the exercise of a contingent claim, including conditioning a distribution of contingent future benefits on an estimated minimum asset value, and discounting the distribution according to a first discount rate. Similarly, the method may include determining present values of respective exercise prices required to exercise one or more contingent claims, including discounting respective exercise prices according to a second discount rate. A conditional value may then be determined based upon the present value conditional distribution and the present values of respective exercise prices, and may be repeated along with determining a present value conditional distribution for different estimated minimum asset values until the conditional value equals approximately zero.