近年來，能源商品的價格隨著國際政治情勢、國際金融環境以及景氣循環的影響產生劇烈波動，基於避險的需求，衍生性商品交易量也逐漸增加。然而，在評價能源衍生性商品的過程中，即期價格動態模型的選擇對於訂價與避險的結果有著顯著的影響，如何選擇一個適當的動態模型以評價能源商品便成為本文研究的目標。在指數與股價選擇權的評價模型中，大多以Black and Scholes (1973)提出的選擇權評價模型作為基礎，但Black-Scholes模型是否適用於評價能源市場的選擇權價格卻是有待商榷。Schwartz (1997)提出以均數回歸模型 (Mean Reversion Model)描述能源即期價格，發現比Black-Scholes模型中所假設的即期價格動態模型更能描述能源市場即期價格的波動。本研究也考慮能源市場遇到重大事件而造成即期價格產生劇烈波動的情況，因此在模型中加入跳躍項以捕捉價格跳躍的現象。另外，能源商品的需求與季節變化有高度相關性，因此本文亦考量即期價格的變動會受到季節性的變動影響，在模型中加入季節性函數，以補捉季節性的價格變化。基於前述模型考量，本研究在各種描述能源商品即期價格特性的動態模型之下，推導各個模型的期貨選擇權定價公式，進一步測試各模型在金融風暴與非金融風暴期間的訂價誤差與避險誤差，以提供投資人或避險需求者於原油期貨選擇權模型選用上之參考。

In recent years, the price of energy commodities has fluctuated with the international political situation and the international financial environment. For the sake of hedging demands, the trading volume of derivatives has been gradually increasing. In the process of valuation of energy derivatives, choices of the spot price dynamics model have a significant impact on pricing and hedging. Therefore, how to choose an appropriate dynamic model to evaluate the energy commodities has been main purpose of this study. Two main models are tested in this paper. One is the option pricing model supposed by Black and Scholes (1973), and another is the mean reversion model supposed by Schwartz (1997). This study also considered the volatility of the spot price in the energy market in case of major events, so the researcher adds the jump to explore the mean reversion model. In addition, the demand for energy commodities is highly correlated with seasonal variations. The vibration of spot price often affected by the seasonal variations is considered in the research. Therefore, the researchers also take the seasonal function into the research to capture the seasonal price changes. Based on considerations described above, the pricing formula for each model of futures option is evaluated in the research. The researcher further tests the pricing errors and hedging errors of each model during the financial crises and non-financial crises in order to provide the investors and hedging demanders with some suggestions about selecting oil futures option models.

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