Generally speaking, while the decision making are made according to Financial Statement by managers, they often ignore the impact of the change degree of the exchange rate on the value of the importing project or tile exporting project and that connect the domestic and foreign risk-free interest rate. Due to the dynamic of exchange rate and the uncertainty of risk-free interest rate, it is very difficult for us to price the value of the project accurately. Based on the framework of the bilateral trade and the risk-neutral environment, we set the economic model to price the value of the importing and the exporting project under the stochastic exchange rate. According to the tendency of the exchange rate, we derive the closed forms of the importing project and the exporting project, and base on the analytical solutions. Thus, we obtain the effect that domestic risk-free rate is positively correlated with the value of the exporting project and the importing project in terms of domestic currency, and the foreign risk-free rate is negatively correlated with the value of the exporting project and the importing project in terms of domestic currency.