中文摘要：

股东价值是影响公司违约决策的关键变量，而传统的结构化模型在为公司债务定价时度量股东价值的方法存在偏误．本文从资产形式的演化入手，描述了股权资产与股票资产之间的差异，在可变现净值的框架下将股东价值分解为股权资产价值与流通期权的组合．流通期权是赋予股东的永久关式看跌期权，将流通期权引入到传统的结构化模型中后，公司债务的定价与以往存在明显的差异，并且传统的结构化模型仅在非正常市场中才能成立．考虑流通期权后的结构化模型纠正了这种定价偏误，通过数值模拟还表明，新的模型在面对存在噪音信息的股价数据时比传统的结构化模型更加稳健．

英文摘要：

The shareholder＇ s value plays an important role in corporate default decisions. However, in tradi- tional structural model, the shareholder＇ s value is unreasonablly measured by the part of corporate asset value to shareholders. Based on asset value decomposition, this paper measures the shareholder＇ s value by the com- bination of the part of corporate assets to shareholders and the so called liquidity option. Technically, we de- scribe the liquidity option as a permanent American put option and introduce it into the traditional structural model. We prove that traditional structural models are special cases of the new model only under unrealistic conditions. But under normal conditions, the traditional structural models will be unreasonable and tend to un- derestimate the corrporate debt yield. We also prove that our new model can correct this mistake and adapt the more volatile stock data well and thus give much more stable pricing results.