政府為推動台灣成為亞太金融中心，逐漸放寬許多金融管制，因此，規避匯率風險將是台灣落實金融自由化與國際化的重要課題。

過去探討外幣選擇權訂價模式的文獻通常在利率固定的假設下進行研究，本研究將HJM利率模型應用於評價外幣選擇權，考慮國內外利率皆為隨機性，歐式與美式外幣選擇權的訂價。本文運用風險中立評價法，推導出與Grabbe(1983)類似的歐式外幣選擇權封閉解，並採用Amin and Bodurtha(1995)的模型設定，以間斷時間的HJM模型為基礎，運用模擬的方法決定美式外幣買權的價格，進而改變各參數的設定，進行敏感度分析。模擬結果顯示長天期的美式外幣買權對遠期利率波動度的敏感度較短天期大。本文呈現另一種外幣選擇權的評價模式，後續的研究可考慮將本文所採用的方法應用於外匯期貨選擇權、交換選擇權等衍生性金融商品的評價上。

第一章 緒論

第一節 研究背景與動機 1

第二節 研究目的 2

第三節 研究架構 3

第二章 相關文獻探討

第一節 歐式外幣選擇權之固定利率模式 4

第二節 歐式外幣選擇權之隨機利率模式 8

第三節 美式外幣選擇權評價模式 13

第三章 外幣選擇權定價模式

第一節 隨機利率下歐式外幣選擇權訂價理論 16

第二節 隨機利率下美式外幣選擇權訂價模式 26

第四章 模擬結果分析 33

第五章 結論與建議 43

附錄一 45

附錄二 46

附錄三 47

附錄四 49

附錄五、美式外幣選擇權電腦模擬程式 50

參考文獻 53

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