摘要
許多公司在發行可贖回公司債時(Callable Bond)，為了規避利率變動的風險因此簽訂利率交換(IRS)契約，此外，考慮到提前贖回的可能性，更進一步承做利率交換選擇權(Swaption)，在利率交換選擇權的部分，一般又會配合特定贖回時點而設計，因此可以視為百慕達式的利率交換選擇權(Bermudan Swaption)。大致而言，百慕達式利率交換選擇權(Bermudan Swaption)可以分為兩類，一類是不論履約時點為何均固定交換期間長度的選擇權，又可稱為Constant Maturity Bermudan Swaption，另一類則是固定商品到期日，即選擇權到期期間與利率交換期間相加為固定常數，換言之，越晚做提前履約的動作，則利率交換的期間也相對便短。
至於在評價部分，百慕達式或美式這些具有提前履約特性的選擇權其封閉解並不存在，因此需要利用到其他的近似解或是數值方法來幫助我們評價。由於本文採用BGM(1997)的市場利率模型(Libor Market Model)，在其高維度的特性下，樹狀方法以及有限差分法並不適用，因此本文選擇使用蒙地卡羅法來幫助我們評價，同時採用Longstaff and Schwartz (2001)的最小平方蒙地卡羅法(Least Squares Monte Carlo Method)來解決傳統蒙地卡羅法無法處理提前履約的困擾。
最後，本文將利用BGM(1997)的利率模型配合Longstaff and Schwartz (2001)的方法實際評價三種商品，包含了上述兩種不同類型的百慕達式利率交換選擇權(Bermudan Swaption)，再加上由中信金所發行的利率交換選擇權(Swaption)，並探討歐式與百慕達式商品價格之差異。

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