Abstract: A system is provided that includes a plurality of modules. The system includes modules configured to determine a present value distribution of contingent positive utility attributable to commitment resources to an asset at a subsequent time, and a present value of a contingent negative utility required to make the resource commitment or deviate from a resource commitment to a known alternative asset. The modules are configured to determine the distribution of contingent positive utility based upon first parameters that reflect risk in the positive utility, and determine the contingent negative utility based upon second parameters that reflect risk in the negative utility. The system also includes a module configured to determine a value of an option to commit the resources based on the distribution of contingent positive utility and the contingent negative utility.

Abstract: 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.

Abstract: A system is provided that includes a plurality of modules. The system includes modules configured to determine a present value distribution of contingent positive utility attributable to commitment resources to an asset at a subsequent time, and a present value of a contingent negative utility required to make the resource commitment or deviate from a resource commitment to a known alternative asset. The modules are configured to determine the distribution of contingent positive utility based upon first parameters that reflect risk in the positive utility, and determine the contingent negative utility based upon second parameters that reflect risk in the negative utility. The system also includes a module configured to determine a value of an option to commit the resources based on the distribution of contingent positive utility and the contingent negative utility.

Abstract: 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.

Abstract: Systems, methods and computer program products for determining a learning curve value and modeling an associated profitability of a good are provided. According to one method of determining a learning curve value, recurring costs of producing each unit of the good are modeled as a function of potential learning curve values. Nonrecurring costs of producing each unit of the good are then modeled as a function of potential learning curve values. Next, the learning curve value is determined based upon the recurring costs model and the nonrecurring costs value such that the sum of the recurring costs and nonrecurring costs at the determined learning curve value is minimized over the potential learning curve values.

Abstract: 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.

Abstract: 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.

Abstract: Systems, methods and computer program products for determining a learning curve value and modeling an associated profitability of a good are provided. According to one method of determining a learning curve value, recurring costs of producing each unit of the good are modeled as a function of potential learning curve values. Nonrecurring costs of producing each unit of the good are then modeled as a function of potential learning curve values. Next, the learning curve value is determined based upon the recurring costs model and the nonrecurring costs value such that the sum of the recurring costs and nonrecurring costs at the determined learning curve value is minimized over the potential learning curve values.

Abstract: A method is provided that includes modeling future demand and/or future supply for a good at one or more segments of a period of time. In accordance with the method, future demand/supply at a respective time segment is modeled based upon a price sensitivity distribution of a unit purchase of the good, as well as a market potential distribution of a number of units of the good in a market associated with the good, during the respective time segment. The price sensitivity distribution and/or the market potential distribution for a respective time segment is based upon a growth rate and an uncertainty for the respective time segment. The method can further include modeling cost and/or profitability of the good at a respective time segment. Profitability can be modeled based upon the demand model and the cost model for the respective time segment.

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.

Abstract: 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.

Abstract: 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.

Abstract: 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 of an asset at a selected decision point, and a present value of an exercise price required to exercise a contingent claim at the selected decision point. Determining the present values of the asset and exercise price may include discounting a respective candidate minimum asset value and exercise price according to first and second discount rates, respectively. A first value may be determined based thereupon, and may be repeatedly determined (along with present values of the asset and exercise price) for one or more candidate minimum asset values to identify a candidate for which a first value approximately equals a second value representing a payoff attributable to the exercise of a contingent claim at the expiration exercise point.

Abstract: A method is provided that includes modeling demand and/or future supply for a good in a differentiated market. In accordance with the method, demand/supply in a differentiated market is modeled by first modeling demand and/or supply for a good in a non-differentiated market based upon a price sensitivity distribution of a unit purchase of the good, as well as a market potential distribution of a number of units of the good in a market associated with the good. Thereafter, the model of demand and/or supply in the non-differentiated market is integrated to thereby model demand and/or supply for a good in a differentiated market. The method can further include modeling cost and/or profitability of the good in a differentiated market. Profitability can be modeled based upon the demand model and the cost model for the differentiated market.

Abstract: 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.

Abstract: 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.

Abstract: A method is provided that includes defining a plurality of independent component markets for a good. In accordance with the method, each component market can be defined a respective price sensitivity distribution of a unit purchase of the good, as well as a market potential distribution of a number of units of the good. The demand and/or supply in the aggregate market can thus then be modeled based upon the price sensitivity distributions and market potential distributions of the component markets. The method can further include modeling cost and/or profitability of the good in an aggregate market. Profitability can be modeled based upon the demand model and the cost model for the aggregate market.

Abstract: 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.

Abstract: 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.

Abstract: 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.