Article information
Resumen
Este documento analiza la opción de responsabilidad limitada de los accionistas de una sociedad anónima endeudada y la opción de abandonar la actividad empresarial a través de la opción de venta americana perpetúa. Las propiedades del análisis de la quiebra empresarial mediante las opciones perpetuas se comparan con el análisis en un horizonte finito. Se introduce los costes fijos en la opción de abandono empresarial. La integración de la opción de responsabilidad y la opción de abandono permite analizar los diferentes escenarios de crisis empresarial desde el punto de vista del valor.
Palabras clave:
quiebra empresarial
opción de abandonar
opciones americanas
Abstract
This work studies the default option and the abandonment option by means of perpetual American puts, which are valued according to Merton's formula. The effect of operating fixed costs is introduced in the abandonment option. The properties of default analysed through perpetual puts are compared with the finite horizon case the joint consideration of default and abandonment option enables to analyse the different scenarios of the firm's crisis from the value point of view. The distance from default that stems from the perpetual default option is calculated and, next, related to the accounting leverage ratio and the asset's market/book ratio.
Keywords:
quiebra empresarial
opción de abandonar
opciones americanas
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