Real options allow for valuation of the structure of liabilities. Analogously with financial options, equity resembles the purchase of a call, and net debt can be assimilated to the sale of a put. The shareholders thus hold a “real” call over the economic assets of the company. On the date of maturity of the debt, they either exercise it and repay it, or they abandon it and abandon the company to creditors.

The value of this call thus represents the economic value of company equity. From the point of view of the creditor, loaning funds to a company comes down to investing in the risk-free assets and giving the shareholder a “real” option to sell of the economic assets at an exercise price that is equal to the amount of debt to repay. Creditors can therefore become the owners of the economic assets if the company goes bankrupt, that is, if it doesn’t acquit itself of its debt. Indeed, unless they recover the amount of loaned funds, they recover the economic assets that they purchased for an amount of debt that is not repaid to them. The sale of this put is a supplementary retribution for the creditor which adds to the risk-free rate to constitute the total remuneration. The creditor risks the put being exercised by shareholders, that is, the company will not respect its agreements.

The value of this option is equal to the difference between the value of the loan discounted at the risk-free rate and the market value of this loan discounted at an interest rate that takes the risk of non-repayment into account, that is, the cost of the debt. This is the risk premium that exists for any loan with respect to a risk-free loan.

Traditionally, to evaluate the equity of a company, analysts use the DCF method. Besides the aforementioned critiques regarding the subjectivity of the hypotheses, the net debt, which is deducted from the value of the company to obtain the value of equity, should ideally also be based on its economic value. Thus, real options can be a complementary approach because of the inclusion of the economic net debt, its maturity, the evaluated probability that the company will go bankrupt and the volatility of its assets. The optional references, that is, principally Black–Scholes (1973), Merton (1974) and Hull et al. (2005), therefore propose a new company value that is understood to be between the economic value of equity and also that of the net debt, considering the volatility of assets (and not that of shares).