隨著國際金融的發展，多資產彩虹選擇權在市場上的發展和實用性日益重要。而為了能夠因應資產價格波動劇烈之市場特性，透過路徑相依之回顧選擇權，由標的資產在契約有效期間內的最高或最低價格中決定報償型態，將選擇權在存續期間儘可能維持在價內，可有效增加市場投資者持有意願。
因此，本研究在解析式的分析方法下，結合Conze and Viswanathan(1991)回顧歐式選擇權和Johnson(1987)彩虹選擇權多資產共變異之概念，進一步發展為多資產彩虹最大保險回顧選擇權，並以封閉解的形式提出評價結果。
為分析所探討多資產彩虹最大保險回顧封閉解之特質，本研究以數值範例及敏感度分析來說明此一型態封閉解的數值求法及特質，並與一般的多資產彩虹選擇權作分析比較，以說明封閉解中參數的影響，所得結果俾以提供相關研究學者與實務界之參考。

As the development of the international finance, rainbow option has become more and more important. In order to incorporate with the dramatic variation of the market characteristic, Lookback option that catches an asset price from the price in the expire range increases the investor’s attention by staying the price in the expire range. The payoff of Lookback option is made by the maximum and minimum price of the contract alive range and maintaining the option’s price in the inner price of the option.
On the foundation of Conze and Viswanathan (1991) Lookback Option, this study extends the results to the pricing of options on the extreme price of several risky assets. By the concept of covariance of Johnson (1987), a closed-form solution is derived for the pricing of a Multi-Asset Rainbow Extrema Lookback Option. This study offers many simulation results to compare the Multi-Asset Rainbow Extrema Lookback Option with the Multi-Asset Rainbow option.

中文摘要 II
英文摘要 III
誌謝 IV
目錄 V
表目錄 VI
圖目錄 VII
第一章　緒論 1
第一節　研究背景與動機 1
第二節　研究目的 2
第三節　研究範圍與限制 3
第四節　研究流程 4
第二章　文獻回顧 5
第一節　彩虹選擇權分類及文獻回顧 5
第二節　回顧選擇權的評價 8
第三節　選擇權求解法演進及說明 12
第四節　小結 14
第三章　模式建構與評價推導 15
第一節　模型建構及假設 15
第二節　多資產彩虹最大保險回顧選擇權推導 16
第五節　小結 21
第四章　數值範例及敏感度分析 22
第一節　雙資產彩虹最大保險回顧選擇權評價數值範例 22
第二節　敏感度分析 25
第三節　小結 30
第五章　結論與建議 31
參考文獻 33

一、中文
1. 金修賢(1998)，蒙地卡羅模擬於美式彩虹選擇權之應用， 中央大學財務管理研究所未出版碩士論文。
2. 柯鈞逵(2000)，時間相依相關係數下多資產選擇權之評價， 台灣大學財務金融研究所未出版碩士論文。
二、英文
1. Black, F. (1976), “The Pricing of Commodity Contracts,” Journal of Financial Economics, Vol. 3, pp. 167-179.
2. Black, F., and Scholes, M., (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, pp. 637-654.
3. Boyle, P.P. (1977), “Options: A Monte Carlo Approach,” Journal of Financial Economics, Vol. 4, pp. 323-338.
4. Conze, A., and Viswanathan (1893), “Path Dependent Options: The Case of Lookback Options,” Journal of Finance, Vol. 46, pp. 1893-1907.
5. Cox, J.C., and Ross, S.A. (1976), “The Valuation of Options for Alternative Stochastic Processes”, Journal of Financial Economics, Vol. 3, pp. 145-166.
6. Cox, J.C., Ross, S.A., and Rubinstein, M. (1979), “Option Pricing: A Simplified Approach,” Journal of Financial Economics, Vol. 7, pp. 229-263.
7. Goldman, M.B., Sosin, H.B., and Gatto, M.A. (1979), “Path Dependent Options: Buy at The Low, Sell at the High,” Journal of Finance, Vol. 34, pp. 1111-1127.
8. Johnson, H. (1987), “Options On the Maximum or the Minimum of Several Assets,” Journal of Financial and Quantitative Analysis, Vol. 23(3), pp. 277-283.
9. Margrabe, W.(1978), “The Value of an Option to Exchange One Asset for Another,” Journal of Finance, Vol. 33, pp. 177-186.
10. Merton, R.C.(1973), “Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, Vol. 4, pp. 141-183.
11. Schwartz, E. (1977), “The Valuation of Warrants: Implementing a New Approach,” Journal of Financial Economics, Vol. 4, pp. 79-93.
12. Stulz, R.M.(1982), “Options On the Minimum or the Maximum of Two Risky Assets,” Journal of Financial Economics, Vol. 10, pp. 161-185.