本研究將Klein（1996），Klein和Inglis（2001）以及Yang和Duan（2006）的選擇權定價模型擴展到了脆弱美式(歐式)選擇權定價。與過往的研究不同，本研究利用績效敏感債券取代單純一般固定利息債券來衡量交易對手公司的負債，檢視當交易對手資本結構中存在績效敏感債券時，對其發行之選擇權價格是否有影響，本研究將交易對手資本結構中存在績效敏感債券的美式選擇權與傳統的美式選擇權進行比較。根據本研究數值分析的結果，以績效敏感債務衡量的選擇權價值高於以往模型計算出來的價值，這本身與績效敏感債券的特性有關，因為隨著公司績效的提高，公司的債務利息支出可獲得減少。另外，績效敏感債券的使用也能有效降低公司的代理成本，故使用績效敏感債券進行外部融資的公司其所發行的選擇權價值較高；且衡量交易對手公司經營績效之係數越大，其所發行的選擇權的價值也越高，由於衡量公司績效之係數越大代表當公司績效越好，可以減少的債務利息支出就越多，公司資產價值低於違約邊界的可能性也越低，從而導致更高的選擇權價格。

This study follows the pricing model of Klein (1996), Klein and Inglis (2001) and Yang and Duan (2006) to price vulnerable American (European) options. Different from previous studies, this study adjusts the assumption on liability by using performance sensitive debt (hereafter, PSD) rather than fixed interest straight debt, and examines whether the PSD in the counterparty’s capital structure has an impact on the price of the option issued. The study compares the vulnerable American options issued by its trading counterparty whose capital structure include PSD with those without PSD in their capital structure under some different assumptions. According to the results from the numerical examples in this study, the value of options that issued by its trading counterparty whose capital structure include PSD is higher than the previous models, because company’s interests are likely to decrease as the company’s performance improves, this is its risk-compensating characteristic. In addition, the use of PSD can also effectively reduce agency cost, so companies using PSD have a higher option value than those using straight debt. Besides, the larger the firm’s performance coefficient, the higher the value of the option. Because the better the performance, the more interests can be reduced, the lower the probability that the company's asset value is below the default boundary, lead to the higher option price.

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