Opción de responsabilidad limitada y opción de abandonar: un análisis a través de opciones americanas perpétuas

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.