The Boeing Company

Christopher A Forgie

Scott H Mathews

Kyle Masao Nakamoto

Vinay T Datar

Shen Liu

Trevor L Crowe

Bill Tollett

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.

Systems, methods and computer program products for modeling uncertain future benefits

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.

System, method and computer program product for performing a contingent claim valuation of a combination 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.

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 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.

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.

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Lombard, IL, United States of America

Christopher A Forgie