Shen Liu

US Patent:

20070150392, Jun 28, 2007

Filed:

Dec 20, 2006

Appl. No.:

11/613959

Inventors:

Scott Mathews - Seattle WA, US
Vinay Datar - Mercer Island WA, US
Kyle Nakamoto - Bellevue WA, US
Christopher Forgie - Lombard IL, US
Bill Tollett - Kent WA, US
Shen Liu - Seattle WA, US

Assignee:

The Boeing Company - Chicago IL

International Classification:

G06Q 40/00

US Classification:

70503600R

Abstract:

A system, method and computer program product are provided for performing a contingent claim valuation of a combination option including one or more multi-stage contingent claims, and an early-launch contingent claim. The method may include determining a first value representing payoffs attributable to exercise of the early-launch contingent claim at a selected decision point; and a second value representing payoffs the attributable to exercise of the multi-stage contingent claim(s) at respective decision point(s), and a contingent claim at an expiration exercise point. The first and/or second values may be determined based upon a 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.