論文摘要
外匯選擇權市場在國內外蓬勃發展，已成為國際金融市場重要的避險工具。美式選擇權佔有大部的分交易量，使得美式外匯選擇權提前執行貼水的研究受到各界廣泛的研究與討論。
本文研究美式外匯選擇權提前執行貼水的成因與訊息傳遞效果的實證研究。本文首先利用數值敏感性分析，研究不同變因對提前執行貼水的影響，接著利用Sarwar&Krehbiel(2000)法與延伸Zivney(1991)法，以SUR模型驗證數值敏感性分析的結果，並同時進行同期相關分析，最後利用三元GARCH(1,1)檢測提前執行貼水間的訊息傳遞效果。
研究期間自2001年5月1日到2002年5月1日止，選取費城交易所的英鎊、歐元、日圓外匯選擇權進行實證分析。以下為研究結論：
1. Sarwar&Krehbiel法的檢定結果(1)外國利率較高的外匯選擇權。兩國利差對買權均為負向影響，價內外程度對於買權為正向影響，距到期日長短為正向影響，波動率為負向影響。 (2)外國利率較低的外幣選擇權。兩國利差對於提前執行貼水為負向影響，價內外程度為負向影響，距到期日長短為正向影響，波動率餘為負向影響。
2. Zivney方法的結果 (1)外國利率較高的外幣選擇權， Zivney方法的結果與Sarwar & Krehbiel評價法的實證結果不一致。(2)外國利率較低的的外幣選擇權，與Sarwar & Krehbiel評價法的實證結果較為一致。
3.經過實證結果，Sarwar & Krehbiel評價法對買權所得的實證結果較符合推論預期，延伸Zivney評價法對賣權所得的實證結果較符合推論預期。
4. Sarwar & Krehbiel法和延伸Zivney法的實證結果選擇權提前執行貼水皆無同期相關。
5.本文利用三元GARCH(1,1)檢定發現各國外匯選擇權提前執行貼水訊息有明顯傳遞的效果。

ABSTRACT
Most of the foreign currency option contracts are of the American type. An American type option is generally worth more then European type option. This difference may be the early exercise premium. The value of early exercise is both statistically and economically significant.
This article investigates the behavior of the early exercise premium and exams the inter-currency transmission of volatility in foreign currency option. Otherwise, the paper is the first research to investigate the inter-currency transmission of volatility in foreign currency option.
We test the early exercise premium by scenario analysis and empirical test. The methodologies of empirical tests followed the researches of Sarwar & Krehbiel (2000) and Zivney (1991).
First, we adopted the scenario analysis to measure the behavior of the early exercise premium. Second, we applied daily observations of the foreign currency options traded on the Philadelphia Stock Exchange from May 1,2001 to May 1,2002 using SUR Model and Tri-GARCH Model to analyze the behavior of the early exercise premium and the inter-currency transmission of volatility.
Conclusions as follow:
1. By Sarwar & Krehbiel methodology: (1) The early exercise premium varies in follow variables where the foreign currency interest rate is high relative to domestic rate. A. decrease with increase in the spread between the domestic and foreign interest rates. B. increase with increase the moneyness .C. increase with increase time to expiration. D. decrease with increase in the implied volatility.(2)The foreign currency interest rate is low relative to domestic rate . A. decrease with increase in the spread between the domestic and foreign interest rates. B. decrease with increase the moneyness .C. increase with increase time to expiration. D. decrease with increase in the implied volatility.
2. By Zivney methodology: (1) The results are different to the conclusion of Sarwar & Krehbiel ’s methodology where foreign currency interest rate is high relative to domestic rate. (2) The results are similar to the conclusion of Sarwar & Krehbiel ’s methodology where foreign currency interest rate is low relative to domestic rate.
3. The call option results of the Sarwar & Krehbiel methodology fit in scenario analysis. The put option results of the Zivney methodology fit in scenario analysis.
4. No exit contemporaneous correlation in foreign currency options.
5. Using a GARCH methodology, significant volatility transmissions are found in foreign currency options.

目錄：
第一章 緒論…..………………………………………………………1
第一節 研究動機………………………………………………….1
第二節 研究目的………………………………………………….3
第三節 研究流程………………………………………………….4
第四節 論文架構………………………………………………….5
第二章 文獻回顧………………………………………………………6
第一節 外匯選擇權簡介………………………………………….7
第二節 歐式外匯選擇權評價模型……………………………….9
第三節 美式選擇權定價模型與提前執行貼水經濟意義………10
一. 買權賣權評價公式……………………………….…10
二. 提前執行貼水的定義……………………………….10
三. 美式外匯選擇權提前執行的經濟涵義…………….12
四. 二元樹評價模型……………………………….……15
第四節 實證文獻探討..…….………………………………….17
第三章 研究方法與模型建立….……………………………………24
第一節 資料來源與選取……………………………………..24
一. 資料選取………………………………………………24
二. 研究期間……………………………………………..24
三. 資料來源………………………………….…………..25
第二節 研究設計與模型建立…………….…….…………….26
一.研究設計…..……………………………….…………….27
二.影響貼水之變因探討與敏感性分析…….…………….31
三.模型設定……………….……………………………….44
第三節 研究方法………….…………………………………..47
第四章 實證結果…………………………………………………….50
第一節 資料分析………………………………………………..50
一. 樣本資料基本統計分析……………………………….50
二. 提前執行貼水基本統計分析………………………….50
三. 兩國利差基本統計分析……………………………….51
四. 隱含波動率基本統計分析…………………………….51
第二節 Sarwar & Krehbiel(2000)評價法實證結果……………58
一. Sarwar & Krehbiel(2000)法對買權實證結果………58
二. Sarwar & Krehbiel(2000)法對賣權實證結果………60
第三節 延伸Zivney(1991)評價法實證結果………………….62
一. 延伸Zivney(1991)法對價內買權的實證結果………62
二. 延伸Zivney(1991)法對價內賣權的實證結果……..63
第四節 三元GARCH(1,1)模型實證結果……………………….65
一. 外匯買權提前執行貼水訊息傳遞效果……………….65
二. 外匯賣權提前執行貼水的傳遞效果………………….66
第五章 結論與建議……………………………………………….68
第一節 結論……………………………..……………………..68
第二節 研究限制…………………………………..…..………70
第三節 建議……………………………………………………..70
參考文獻……………………………………………………………..71

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