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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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3.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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4.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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5.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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6.发明授权Systems, methods and computer program products for performing a generalized contingent claim valuation 有权用于执行广义或有索赔估价的系统，方法和计算机程序产品公开(公告)号：US06862579B2
公开(公告)日：2005-03-01
申请号：US09902021
申请日：2001-07-10
申请人： Scott H. Mathews , Vinay T. Datar
发明人： Scott H. Mathews , Vinay T. Datar
CPC分类号： G06Q40/00 , G06Q10/06 , G06Q10/067 , G06Q40/06
摘要： Systems, methods and computer program products for performing a valuation of a contingent claim are provided that initially determine the present value distribution of contingent future benefits that is attributable to the exercise of a contingent claim. In this regard, the distribution of contingent future benefits is discounted according to a first discount rate, such as the weighted average cost of capital. The present value of a contingent future investment required to exercise the contingent claim is also determined based upon another appropriate discount rate, such as a risk-free rate of discounting. An average of the difference between the present value distribution of contingent future benefits and the present value of the contingent future investment is determined. By utilizing appropriate discount rates, the benefits and investment can be effectively valued, which, in turn, permits the contingent claim project to be effectively valued in an intuitive manner.
摘要翻译： 提供用于对或有债权进行估值的系统，方法和计算机程序产品，其初步确定归因于行使或有债权的或有未来利益的现值分配。 在这方面，或有未来利益的分配按照加权平均资本成本等第一贴现率折现。 行使或有债权所需的或有未来投资的现值也根据其他适当的折现率确定，如无风险折现率。 确定或有未来利益现值分配与或有未来投资现值之间的差额的平均值。 通过利用适当的贴现率，可以有效地估价利益和投资，这反过来又允许以直观的方式有效地估价或有的索赔项目。
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7.发明授权Systems, methods and computer program products for performing a contingent claim valuation 有权用于执行或有索赔估价的系统，方法和计算机程序产品公开(公告)号：US08204814B2
公开(公告)日：2012-06-19
申请号：US12696423
申请日：2010-01-29
申请人： Vinay T. Datar , Scott H. Mathews
发明人： Vinay T. Datar , Scott H. Mathews
IPC分类号： G06Q40/00
CPC分类号： G06Q40/00 , G06Q10/06 , G06Q10/067 , G06Q40/06
摘要： Systems, methods and computer program products for performing a valuation of a contingent claim, such as a call or a put, are provided that initially determine the present value distribution of contingent future benefits that is attributable to the exercise of a contingent claim, such as according to a jump-diffusion model. The present value of an exercise price, such as a distribution of contingent future investments of a distribution of contingent future investments, required to exercise the contingent claim is also determined. An average of the difference between the present value distribution of contingent future benefits and the present value of the contingent future investment is determined. By utilizing appropriate discount rates, the benefits and investment can be effectively valued, which, in turn, permits the contingent claim project to be effectively valued in an intuitive manner.
摘要翻译： 提供用于对或有债权进行评估的系统，方法和计算机程序产品，例如看涨期权或期权，最初确定归因于行使或有债权的或有未来利益的现值分配，例如 根据跳跃扩散模型。 还确定了行使或有债权分配的或有未来投资的或有未来投资的分配行权价格的现值。 确定或有未来利益现值分配与或有未来投资现值之间的差额的平均值。 通过利用适当的贴现率，可以有效地估价利益和投资，这反过来又允许以直观的方式有效地估价或有的索赔项目。
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8.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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9.发明授权Systems, methods and computer program products for modeling a monetary measure for a good based upon technology maturity levels 有权系统，方法和计算机程序产品，用于根据技术成熟度级别为货物量度衡量货币公开(公告)号：US07627494B2
公开(公告)日：2009-12-01
申请号：US10453395
申请日：2003-06-03
申请人： Scott H. Mathews , Vinay T. Datar , Kevin Feely , David J. Gauss
发明人： Scott H. Mathews , Vinay T. Datar , Kevin Feely , David J. Gauss
IPC分类号： G06F17/60
CPC分类号： G06Q10/06 , G06Q10/0631 , G06Q10/0637 , G06Q10/06375 , G06Q10/067 , G06Q30/0201 , G06Q40/025 , G06Q40/06 , G06Q40/08
摘要： A systems, methods and computer program products are provided for modeling a monetary measure of a good, such as a cost or revenue associated with the good. A method begins by selecting at least one qualitative measure of maturity for at least one technology associated with the good, where each qualitative measure of maturity is associated with a distribution such that each technology is correspondingly associated with a distribution. Next, a monetary point is associated with each technology, and thereafter a monetary distribution is determined for each technology based upon a respective monetary point and a respective distribution. A plurality of monetary values are selected by randomly selecting the plurality of monetary values for each technology based upon a respective monetary distribution. Finally, the monetary measure for the good are modeled based upon the selected monetary values for each technology.
摘要翻译： 提供了一个系统，方法和计算机程序产品，用于建模一个商品的货币衡量标准，例如与商品相关的成本或收入。 一种方法首先是选择至少一种至少一种与该产品相关联的技术的成熟度定性测量，其中每个定性测量成熟度与分布相关联，使得每个技术与分配相对应。 接下来，货币点与每个技术相关联，然后基于相应的货币点和相应的分布，确定每种技术的货币分配。 基于相应的货币分配，通过随机选择每种技术的多个货币值来选择多个货币值。 最后，根据每项技术的选定货币价值，对货币进行货币衡量。
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10.发明授权Systems, methods and computer program products for modeling a monetary measure for a good based upon technology maturity levels 有权系统，方法和计算机程序产品，用于根据技术成熟度级别为货物量度衡量货币公开(公告)号：US08204775B2
公开(公告)日：2012-06-19
申请号：US12603215
申请日：2009-10-21
申请人： Scott H. Mathews , Vinay T. Datar , Kevin Feely , David J. Gauss
发明人： Scott H. Mathews , Vinay T. Datar , Kevin Feely , David J. Gauss
IPC分类号： G06Q10/00
CPC分类号： G06Q10/06 , G06Q10/0631 , G06Q10/0637 , G06Q10/06375 , G06Q10/067 , G06Q30/0201 , G06Q40/025 , G06Q40/06 , G06Q40/08
摘要： A systems, methods and computer program products are provided for modeling a monetary measure of a good, such as a cost or revenue associated with the good. A method begins by selecting at least one qualitative measure of maturity for at least one technology associated with the good, where each qualitative measure of maturity is associated with a distribution such that each technology is correspondingly associated with a distribution. Next, a monetary point is associated with each technology, and thereafter a monetary distribution is determined for each technology based upon a respective monetary point and a respective distribution. A plurality of monetary values are selected by randomly selecting the plurality of monetary values for each technology based upon a respective monetary distribution. Finally, the monetary measure for the good are modeled based upon the selected monetary values for each technology.
摘要翻译： 提供了一个系统，方法和计算机程序产品，用于建模一个商品的货币衡量标准，例如与商品相关的成本或收入。 一种方法首先是选择至少一种至少一种与该产品相关联的技术的成熟度定性测量，其中每个定性测量成熟度与分布相关联，使得每个技术与分配相对应。 接下来，货币点与每个技术相关联，然后基于相应的货币点和相应的分布，确定每种技术的货币分配。 基于相应的货币分配，通过随机选择每种技术的多个货币值来选择多个货币值。 最后，根据每项技术的选定货币价值，对货币进行货币衡量。
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