风险企业债务估值未定权益分析的两个公式

Two Formulas of Debt Valuation About risky Enterprise with Contingent Claims Analysis and Comparison

风险债务与无风险债务的估值有显著差异 ,风险债务估值不仅其收入流不确定 ,并且其贴现率也不确定 ,因此得不到一种解析表达式。不考虑贴现率即利率的变化 ,这样便能专注于资产价值的不确定性对债务价值的影响。未定权益分析作为期权定价理论的推广 ,广泛运用于债务估值 ,并能给出解析表达式。把默顿给出的公式的与布莱克等人给出的公式进行比较 ,说明了两个公式运用所需的条件 。

Risky debt valuation differs greatly from that of no risk so that under uncertainty of income flower and discount rate, usually we can not get a kind of resonlution to express the type. With no account of the discount rate, we are absorbed in property value influence under uncertainty. As generalizing the theory of option pricing, contingent claims analysis can handel debt valuation, and sometime give closed form expressions.Two formula obtained by Merton and Black&Cox, are Compared and different conditions are discussed. At last, some comment on formula of debt valuation is given.