考量不同求償順位下的風險性買權與債權發行公司的評價

Valuation of Vulnerable Options and Risky Debts under Different Seniority Status

本研究納入債權相對順位因素，分析一個融資來源包含負債與發行買權之公司的債權評價，以及其買權的評價。本研究延伸Merton （1974）、Johnson and Stultz （1987） 與 Klein （1996）等學者的評價模型。本研究的貢獻在闡述發行公司債權順位，或公司價值與買權標的價值的相關係數，皆對相關證券價值有重大影響。本研究發現：次順債券的價值可能高於一般債券的價值，這種情況發生於發行公司價值較低，且發行公司價值與買權價值呈現正相關的時候。一般投資人忽略這種可能性，但一個謹慎的投資人可能從中獲利。本文最後用數值模擬分析與圖表說明這種潛在的獲利機會。

This article explores the valuation of both debts and call options in a unified context, where the issuer can possibly default. We extend the models of Merton (1974), Johnson and Stultz (1987) and Klein (1996). The capital structure of the issuer is composed of debts, shorted calls and equity. This research shows that both the securities＇priority status and the correlation between the firm value and the option＇s underlying stock value have significant impacts on the valuation of the securities. It is likely that a security with priority status junior to other liabilities is worth more than a security with priority status ranking equally with other liabilities. Such a situation occurs when the issuer＇s firm value is low and the dynamics of the firm value is positively correlated with that of the option＇s underlying stock value. If the market participants ignore this feature, an astute investor can make arbitrage in such a speculative security. These findings are derived via Monte Carlo simulations employing both antithetic and control variate techniques. Analytical explanations are also provided.