本研究旨在以短期利率及匯率波動度均為隨機過程下，假設本國短期利率與美國短期利率皆符合CIR模型，匯率波動度則符合Heston模型，藉由2008年一件使中華電信帳面發生未實現損失新台幣40億的避險事件，探討外匯選擇權評價與衡量風險值，並彰顯隨機波動模型的重要性。本研究思考角度將站在中華電信方，並將時間點拉回合約簽定前，利用蒙地卡羅法給予合約價值評價，由於合約本身存在調整彈性，欲分析不同合約條件之價值，將先把避險合約做拆解，並做合約條件上適度的調整，相較於簽訂之合約高複雜度，給予中華電信建議以購買遠期合約作為避險策略選項，同時也做避險合約之風險值的比較。本文之模型參數較難估計，但是研究顯示隨機波動度模型將有助於評價外匯選擇權，然而，合約下限條件的調整也有利於合約對中華電信的價值。

The paper develops a stochastic interest rate and volatility model. The short rates follow CIR model and the volatility of exchange rate follow Heston model. Discuss the pricing and the risk value of foreign currency derivative on the stochastic model. With the case study, the Chunghwa Telecom Co. event occurred 4 billion Taiwan dollars unrealized loss in 2008. We will discuss in the perspective of Chunghwa Telecom Co. and try to find a better way to hedge foreign exchange rate. Because of the flexibility to adjust the conditions of contract, we provide some way to change the conditions of contract. However, we also advise to buy forward for hedge. Then, use Monte-Carlo method to evaluate the value and the risk of all the contract. Compare each value and risk of contract. The model we use is more difficult to estimate the parameters, but the results have shown that stochastic volatility model will facilitate the evaluation of foreign exchange option. The condition of contract change to reduce the down side risk will help to gain the value of contract.

一、中文部分
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林常青、洪茂蔚、管中閔(2002)，台灣短期利率的動態行為：狀態轉換模型的應用，中央研究院經濟研究所，經濟論文，第30卷第1期，頁29-55 盧彥顯(2002)，隨機利率與隨機匯率波動下外匯選擇權評價之研究(碩士論文)，國立高雄第一科技大學
連春紅、廖四郎、李政峰(2005)，估計與比較連續時間利率模型-台灣商業本票之實證分析，管理評論，第二十四卷，第一期，頁29-53
柯藹琳(2008)，使用外匯衍生性商品從事外匯避險之行為探討-以中華電信個案為例(碩士論文)，國立交通大學企業管理碩士學程，新竹市。
詹錦宏、林佳樺(2010)，中華電信外匯避險選擇權案例之研究，台灣期貨與衍生性商品學刊，頁75-102
張家榮(2010)，隨機波動模型下參數之最大概似估計法(碩士論文)，國立中央大學
林柔青(2014)，障礙選擇權評價模型之應用(碩士論文)，國立台灣科技大學。

二、英文部分
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