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1.发明授权System, method and computer program product for performing a contingent claim valuation of a combination option 有权用于执行组合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：US07761361B2
公开(公告)日：2010-07-20
申请号：US11613959
申请日：2006-12-20
申请人： Scott H. Mathews , Vinay T. Datar , Kyle M. Nakamoto , Christopher A. Forgie , Bill Tollett , Shen Liu
发明人： Scott H. Mathews , Vinay T. Datar , Kyle M. Nakamoto , Christopher A. Forgie , Bill Tollett , Shen Liu
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 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.
摘要翻译： 提供了一种系统，方法和计算机程序产品，用于执行包括一个或多个多阶段或有索赔的组合选项的或有的权利要求估价，以及早期发起的或有索赔。 该方法可以包括：在所选择的决策点处确定可归因于行使早期发起或有索赔的收益的第一值; 以及表示在各自的决定点上归因于行使多级或有索赔的第二值，以及到期运动点的或有要求。 第一和/或第二价值可以基于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，所述现值包括根据第一和第二贴现率折扣的相应分配和行使价， 分别。 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 determining a minimum asset value for exercising a contingent claim of an option 有权用于确定最低资产价值的系统，方法和计算机程序产品，用于行使期权或有债权公开(公告)号：US07676413B2
公开(公告)日：2010-03-09
申请号：US11613993
申请日：2006-12-20
IPC分类号： G06Q40/00
摘要： 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.
摘要翻译： 提供了一种系统，方法和计算机程序产品，用于确定用于行使选项的或有权利要求的最低未来收益值。 该方法可以包括确定到期运动点处的或有未来福利的现值分布，以及在到期运动点和在该点之前的一个或多个决策点的相应运动价格的现值。 确定这些现值分布和现值可以包括分别根据第一和第二贴现率贴现分配和相应的值。 该方法还可以包括对于选定的决策点处的多个预测资产值重复地确定基于当前值分布和当前值的相应值，其中相应的值可以对预测的资产值进行调节。 然后可以选择使该值最大化的预测资产值。
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3.发明授权System, method and computer program product for determining a minimum asset value for exercising a contingent claim of an option 有权用于确定最低资产价值的系统，方法和计算机程序产品，用于行使期权或有债权公开(公告)号：US07676412B2
公开(公告)日：2010-03-09
申请号：US11613979
申请日：2006-12-20
IPC分类号： G06Q40/00
摘要： 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.
摘要翻译： 提供了一种系统，方法和计算机程序产品，用于确定用于行使期权或有债权的最低资产价值。 该方法可以包括确定归因于行使或有债权的或有未来利益的现值条件分配，包括调整或有未来利益的分配对估计的最低资产价值，以及根据第一贴现率贴现分配。 类似地，该方法可以包括确定行使一个或多个或有索赔所需的相应行使价格的现值，包括根据第二贴现率贴现相应的行使价格。 然后可以基于当前价值条件分布和各自的行使价格的当前值来确定条件值，并且可以与确定不同估计最小资产值的当前值条件分布重复直到条件值等于大约为零。
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4.发明授权Systems, methods and computer program products for modeling uncertain future benefits 有权用于建模不确定未来收益的系统，方法和计算机程序产品公开(公告)号：US08645249B2
公开(公告)日：2014-02-04
申请号：US13487965
申请日：2012-06-04
CPC分类号： G06Q10/06 , G06Q10/087 , G06Q40/00
摘要： Systems, methods and computer program products are provided for modeling future benefits. According to the method, modeling future benefits begins by defining a growth rate for the good for each time segment of a period of time, where the period of time includes a plurality of time segments. An uncertainty for the good is then determined for each time segment. Next, a benefit distribution is determined for each time segment based upon the growth rate and uncertainty for the respective time segment. Finally, a benefit value is selected for each time segment by randomly selecting each benefit value based upon a respective benefit distribution to thereby model future benefits over the period of time.
摘要翻译： 提供系统，方法和计算机程序产品，用于建模未来的优势。 根据该方法，对未来利益的建模开始于定义一段时间段的每个时间段的利益的增长率，其中该时间段包括多个时间段。 然后确定每个时间段的好的不确定性。 接下来，基于相应时间段的增长率和不确定性，确定每个时间段的利益分配。 最后，通过基于相应的利益分布随机选择每个利益值，从而为每个时间段选择一个利益值，从而在一段时间内模拟未来的收益。
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5.发明申请SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR MODELING UNCERTAIN FUTURE BENEFITS 有权用于建模不确定未来的好处的系统，方法和计算机程序产品公开(公告)号：US20120245977A1
公开(公告)日：2012-09-27
申请号：US13487965
申请日：2012-06-04
IPC分类号： G06Q10/04
CPC分类号： G06Q10/06 , G06Q10/087 , G06Q40/00
摘要： Systems, methods and computer program products are provided for modeling future benefits. According to the method, modeling future benefits begins by defining a growth rate for the good for each time segment of a period of time, where the period of time includes a plurality of time segments. An uncertainty for the good is then determined for each time segment. Next, a benefit distribution is determined for each time segment based upon the growth rate and uncertainty for the respective time segment. Finally, a benefit value is selected for each time segment by randomly selecting each benefit value based upon a respective benefit distribution to thereby model future benefits over the period of time.
摘要翻译： 提供系统，方法和计算机程序产品，用于建模未来的优势。 根据该方法，对未来利益的建模开始于定义一段时间段的每个时间段的利益的增长率，其中该时间段包括多个时间段。 然后确定每个时间段的好的不确定性。 接下来，基于相应时间段的增长率和不确定性，确定每个时间段的利益分配。 最后，通过基于相应的利益分布随机选择每个利益值，从而为每个时间段选择一个利益值，从而在一段时间内模拟未来的收益。
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6.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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7.发明授权System, method and computer program product for determining a minimum asset value for exercising a contingent claim of an option 有权用于确定最低资产价值的系统，方法和计算机程序产品，用于行使期权或有债权公开(公告)号：US07747504B2
公开(公告)日：2010-06-29
申请号：US11613967
申请日：2006-12-20
IPC分类号： G06Q40/00
摘要： 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 present value distribution(s) of contingent future value and present value(s) of respective exercise price(s) at an expiration exercise point and/or one or more decision points before that point. Determining these present value distribution(s) and present value(s) may include discounting respective distribution(s) and value(s) according to first and second discount rates, respectively. The method may also include repeatedly determining, for a plurality of candidate minimum asset values at a selected decision point, respective values based upon one or more of the present value distribution(s) and one or more of the present value(s), where the respective values may be conditioned on the candidate minimum asset values. A candidate minimum asset value that maximizes the value may then be selected.
摘要翻译： 提供了一种系统，方法和计算机程序产品，用于确定用于行使选项的或有权利要求的最低未来收益值。 该方法可以包括在到期运动点和/或该点之前的一个或多个决定点确定或有的未来值的现值分布和相应运动价格的现值。 确定这些现值分布和现值可以包括分别根据第一和第二贴现率折扣相应的分布和价值。 该方法还可以包括针对所选择的决定点处的多个候选最小资产值重复地确定基于当前值分布和一个或多个当前值中的一个或多个的相应值，其中 相应的值可以基于候选的最小资产值。 然后可以选择使该值最大化的候选最小资产值。
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8.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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9.发明授权System, method and computer program product for determining a minimum asset value for exercising a contingent claim of an option 有权用于确定最低资产价值的系统，方法和计算机程序产品，用于行使期权或有债权公开(公告)号：US07698189B2
公开(公告)日：2010-04-13
申请号：US11614009
申请日：2006-12-20
IPC分类号： G06Q40/00
摘要： 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 price(s) at the expiration exercise point and one or more decision points before that point, including discounting a respective distribution and values according to first and second discount rates, respectively. The method may also include defining a value as a function of a variable asset value at a selected decision point, the value being determinable based upon the present value distribution and present values, where the present value distribution may be correlated with the asset value. The function may then be solved for a root thereof, the root being selected as a minimum asset value.
摘要翻译： 提供了一种系统，方法和计算机程序产品，用于确定用于行使选项的或有权利要求的最低未来收益值。 该方法可以包括确定到期运动点处的或有未来利益的现值分布，以及到期运动点的相应行使价格和该点之前的一个或多个决策点的现值，包括贴现相应分布，以及 价值分别按照第一和第二折扣率。 该方法还可以包括在所选择的决定点处定义作为可变资产值的函数的值，该值可以基于当前值分布和当前值来确定，其中当前价值分布可以与资产值相关联。 然后可以解决该功能的根，该根被选择为最小资产值。
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10.发明授权Modeling an event using linked component modules provided in a spreadsheet environment 有权使用电子表格环境中提供的链接组件模块建模事件公开(公告)号：US07346485B2
公开(公告)日：2008-03-18
申请号：US10705030
申请日：2003-11-11
摘要： A method includes providing a plurality of component modules in a spreadsheet environment. Each component module is capable of modeling a portion of an event and includes at least one process. Each component module can be accessed independent of the other component modules, and at least one component module includes at least one input and at least one component module includes at least one output. The inputs and the outputs can be linked to thereby model the event. Thereafter, the processes of the component modules can be performed to simulate the event.
摘要翻译： 一种方法包括在电子表格环境中提供多个组件模块。 每个组件模块能够对事件的一部分进行建模，并且包括至少一个过程。 可以独立于其他组件模块来访问每个组件模块，并且至少一个组件模块包括至少一个输入，并且至少一个组件模块包括至少一个输出。 输入和输出可以链接，从而对事件进行建模。 此后，可以执行组件模块的处理以模拟该事件。
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