選擇權在財務金融的領域應用廣泛，不論是在投資學及公司財管的範圍上皆十分的重要。本論文研究的焦點在選擇權的定價上，其有二個研究方向，一為金融創新的應用，本論文提出一個新的新奇選擇權──有試用期選擇權。另一為美式選擇權的定價及應用，本論文提出美式選擇權的封閉解。
在有試用期選擇權的研究上，本論文將應用貨不滿意包退包換或有試用期的行銷策略做為新奇選擇權的創新來源，設計出一新奇的選擇權，其為：當選擇權合約成立時，買方有權在某一定的約定期間內決定是否繼續擁有該選擇權，若其不願繼續擁有，則可退回給該選擇權的賣方，此謂之為貨不滿意包退包換。該選擇權最大的特色為具有保本的性質，因而其較一般選擇權有吸引力。
本論文第二部份將賣方的角度分析美式選擇權的定價。美式選擇權至今尚未有封閉解，因為買方的最佳的執行點未知，本論文從賣方點觀出發，避開最佳執行點的決定困難問題，討論選擇權的執行準備金，成功的得到了美式選擇權的封閉解。
有試用期選擇權的提出及美式選擇權的封閉解為本論文的主要貢獻。前者是從賣方的行銷手法與選擇權的理論的結合來設計選擇權，相信此將可以拓展財務工程的思考範圍。而後者亦從賣方的觀點，提供一新的思維方向，得到美式選擇權的封閉解，相信對現有美式選擇權的定價研究將有所幫助。

This paper has two researches direction, one is in the pricing and application of a probation option, the other is in the pricing and application of an American option.
In the research of a probation option, this paper used the concept of the marketing strategy to be the source of financial innovation, and therefore decision a new exotic option. We call this option is a probation option. We introduce the application of this option, and further more to device the value of this option. Beside, this option also can apply to the field of marketing, and to calculate the cost of marketing strategy.
In the research of an American, this paper proposes a new method- the implied belief model, to obtain a closed-form solution of the value of the American option. We analyze the value of the American option through the view point of the sellers of the options. By adopting this method, we derive the upper bound for the value of an American option. Then we define the belief value of seller to obtain a closed-form solution of the value of an American option. Finally, we apply the method to S&P 100 American option and deduce the implied belief value.

第一章　緒論 1
　　第一節　研究動機及貢獻 1
　　第二節　研究方法及範圍 5
第二章　選擇權理論 8
　　第一節　基本理論 8
　　第二節　新奇的選擇權 17
　　第三節　美式選擇權 20
第三章　有試用期間的選擇權期初價格分析 32
　　第一節　理論背景 32
　　第二節　有試用期選擇權模型 33
　　第三節　有試用期選擇權在衡量行銷策略成本的應用 39
本章附錄一 42
第四章　美式選擇權從賣方觀點的定價問題 44
　　第一節　歐式選擇權從賣方觀點的定價 44
　　第二節　美式選擇權從賣方觀點的定價上限 44
　　第三節　隱含相信的概念 49
第五章　有試用期選擇權數值分析及美式選擇權實證結果 52
　　第一節　有試用期選擇權的數值分析 52
　　第二節　美式選擇權的實證研究 55
第六章　結論 67
參考文獻 70

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