以解析方法求解障礙選擇權，僅於障礙條件為簡單之常數形式或是時間之自然對數指數函數時才可行。一般常用之樹狀評價模型則往往產生許多評價誤差。蒙地卡羅模擬方法亦受制於其模擬偏誤及計算耗時等缺點。本研究採取積分方法求解障礙選擇權之評價問題。大多數的選擇權評價問題皆可透過變數轉換的處理過程成為熱傳導方式，此偏微分方程式為一同質線性方程式，而積分方法乃求解同質線性方程式問題之方法中，最精確而有效率的方法之一。透過積分方法可有效率地求得大部分奇異選擇權之精確數值解。本研究以歐式連續型上限式障礙選擇權評價作為積分方法之應用實例，並探討其獨特之時間與波動性之效果。此外，積分方法亦可應用於評價離散型障礙選擇權，並可進一步擴充為邊界元素法以求解自由邊界問題。

　　Analytical technique works only for options with simple barriers. Widely-used lattice models usually suffer form various types of pricing errors. Monte Carlo method is also subject to simulation bias. In our study, we adopt an integral method, which the most efficient and accurate numerical method for calculating the numerical value of a homogeneous linear P.D.E. such as the Heat Equation, into which option pricing problem can generally be transformed. By means of the integral method, accurate value of most exotic options can be obtained efficiently. In this paper, an up-and-out call is adopted to be a numerical example of the application of the integral method, and its particular characteristics in respect of time and volatility are discussed. For further researches, our integral method is also excellent at pricing discrete barrier options and can be extend to be Boundary Element Method (B.E.M.) for solving free boundary problems.

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