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.