The Boeing Company

Vinay T Datar

Scott H Mathews

Kyle Masao Nakamoto

Christopher A Forgie

Kevin Feely

David J Gauss

Thomas S Richardson

Bill Tollett

Shen Liu

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 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.

Systems, methods and computer program products for modeling a monetary measure for a good based upon technology maturity levels

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.

Systems, methods and computer program products for performing a contingent claim valuation

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 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.

System, method and computer program product for performing a contingent claim valuation of a multi-stage 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 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.

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 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.

System, method and computer program product for performing a contingent claim valuation of an early-launch 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 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.

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.

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.

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.

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Mercer Island, WA, United States of America

Vinay T Datar