過去許多關於預測破產之研究，都是使用固定期間之預測模式，因此在計算破產機率時會有偏差不一致的情形。許多學者質疑過去研究使用會計資訊來衡量破產機率並不適當，因破產機率為對未來事件可能性之預測，但財務報表上的會計資訊為歷史資訊，對未來之攸關性並不高；且財務報表是基於繼續經營假設下所編製，故在此假設下預測破產之能力是受到限制的。此外，保守原則常使固定資產及無形資產的價值低估，而此低估之誤差會導致計算之槓桿比率高估，並且減少會計資訊評估破產機率之能力。
本研究根據Hillegeist et al.（2004）為基礎，使用選擇權評價模式，以公司之負債與股價資訊，計算出公司破產機率。而此模型可在任何時點預測公司破產機率，故不同於過去相關研究靜態模型，為可動態預測之模型。
本研究選取了Z-Score、O-Score及傳統涉險模型，在比較模式的預測效率後，發現選擇權評價模式皆優於其他預測模型。選擇權評價模式之預測能力較佳，故證明其為適當之動態預測模型。

There are several reasons to question the effectiveness of probability of bankruptcy measures that are based on accounting data. While probability of banrkruptcy estimates are statements about the likelihood of future events, the financial statements are designed to measure past performance and may not be very informative about the future status of the firm. Financial statements are formulated under the going-concern principle, which assumes that firm will not go bankrupt. Thus, their ability to accurately and reliably assess the probability of bankruptcy will be limited by design. Additionally, the conservatism principle often causes asset values to be understated relative to their market values, particularly for fixed and intangibles.
Based on research of Hillegeist et al.(2004), this research use Option-Pricing Model to assess probability of bankruptcy. The firm’s equity can be viewed as a call option on the value of the firm’s assets. We assess whether the accounting-based measures effectively summarize publicly-available information about the probability of bankruptcy. Our tests show that Option-Pricing Model provides significantly more information than accounting-based measures.

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