此篇論文主要考慮在交易對手違約風險模型下，銀行存款保險之最佳選擇權評價模式，尤其當財務危機爆發時，交易對手的其他負債比率往往會高於選擇權本身，導致交易對手違約風險提升，故考慮將其他負債列入交易對手計算保費之風險評估。
為了求得此違約風險選擇權評價模式，利用三維度二項樹法、對數轉換及一階泰勒展開式，來建構選擇權近似公式解。此篇論文使用台灣存款保險公司及各金融機構的年報資料，時間為2011年至2015年財報日期。
實證結果顯示存款保險公司的其他負債對於存款保險保費有顯著影響性，故此結果支持當計算存款保險保費時，應該考量將存款保險公司的其他負債列入風險評估內。

This thesis focuses on the optimal value of European vulnerable put option on the fair premium of deposit insurance. In particular, it considers the other liabilities in the capital structure of the option writer, and if the proportion of other liabilities of the option writer is larger than the value of the option if financial distress occurs.
In order to price the model of vulnerable put options, this study uses a three-dimensional binomial tree, log transformation and first-order Taylor series approximation to construct an appropriate formula. This thesis uses data from the annual reports of the CDIC and the financial institutions in Taiwan for the period 2010-2015.
The results show that the other liabilities of the Federal Deposit Insurance Corporation (FDIC) have a significant effect on the deposit insurance premiums, and thus support the view that the options and other liabilities which should be considered in the capital structure of the FDIC when calculating the deposit insurance premium.

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