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1.发明授权System, method and computer program product for performing a contingent claim valuation of an early-launch option 有权系统，方法和计算机程序产品，用于执行早期启动选项的或有的索赔估价公开(公告)号：US07739176B2
公开(公告)日：2010-06-15
申请号：US11613954
申请日：2006-12-20
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06
摘要： A system, method and computer program product are provided for performing a contingent claim valuation of an early-launch option including a contingent claim exercisable at one of a plurality of decision points including one or more decision points before an expiration exercise point. The method may include determining first and second values representing payoffs attributable to exercise of a contingent claim at a selected decision point before the expiration exercise point, and at the expiration exercise point, respectively. The first and/or second values may be determined based upon respective present value distribution of contingent future value and a respective present value of an exercise price, the present values including a respective distribution and exercise price discounted according to first and second discount rates, respectively. A value of the contingent claim may then be determined based upon the first value and/or the second value.
摘要翻译： 提供了一种系统，方法和计算机程序产品，用于执行早期发射选项的或有的权利要求估价，包括可以在到期运动点之前包括一个或多个决策点的多个决定点之一执行的或有要求。 该方法可以包括分别确定代表归属于在到期运动点之前的所选决定点处或有的权利要求的赔偿的第一和第二值以及到期运动点。 第一和/或第二价值可以根据或有未来值的各自的现值分布和行使价的各自的现值来确定，该现值包括分别根据第一和第二折现率折扣的相应分配和行使价 。 然后可以基于第一值和/或第二值来确定或有要求的值。
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2.发明授权System, method and computer program product for performing a contingent claim valuation of a multi-stage option 有权用于执行多阶段选项的或有要求估价的系统，方法和计算机程序产品公开(公告)号：US07752113B2
公开(公告)日：2010-07-06
申请号：US11613929
申请日：2006-12-20
IPC分类号： G06Q40/00
摘要： A system, method and computer program product are provided for performing a contingent claim valuation of a multi-stage option including a plurality of contingent claims exercisable at a plurality of respective exercise points including one or more exercise points before an expiration exercise point. The method may include determining a present value distribution of contingent future benefits attributable to the exercise of the contingent claim at the expiration exercise point, including discounting a distribution of contingent future benefits according to a first discount rate; and determining present values of exercise prices required to exercise the contingent claim at respective exercise points, including discounting exercise prices at respective exercise points according to a second discount rate that need not equal the first discount rate. A value of the contingent claim may then be determined based upon the present value distribution of contingent future benefits and the present values of exercise prices.
摘要翻译： 提供了一种系统，方法和计算机程序产品，用于执行多阶段选项的或有的权利要求估价，所述多阶段期权包括可在到期运动点之前包括一个或多个运动点的多个相应运动点可执行的多个或有索赔。 该方法可以包括确定归属于在到期行使点上行使或有债权的或有未来利益的现值分配，包括根据第一贴现率折现或有未来利益的分配; 以及确定在相应运动点行使或有债权所需的行使价格的现值，包括根据不等于第一贴现率的第二贴现率在各个运动点贴现行使价格。 然后可以根据或有未来利益的现值分配和行使价格的现值确定或有债权的价值。
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