In conducting activities of foreign currency transactions, OBUs play the role of intermediator for customers, or the role of hedger by offsetting positions that are exposed to the risk, or the role of arbitrageur for arbitrage profits. Among major business such as LC, guarantee, acceptance, bank discount, margin transaction, interest-rate swap, forward, options, and financial futures, OBUs often use option strategies to hedge cross exchange rate risk in spot markets. The purpose of this paper is to provide a framework of relevant investment strategies for OBUs in conducting the activities of cross exchange transactions with option strategies. By using Analytic Hierarchy Process (AHP), we are able to structurize the investment decisions, and to provide a systematic algorithm to analyze these problems which involve complicated criteria. We hope this method will help management to achieve better investment decisions.