This study theoretically analyzes the effect of real option hedge on the exchange risk exposure for the export firms by developing a real option model. To do this, we use the time varying mark-up rate as a proxy for real option hedge and represent real option as proportional to the export profit. Real option hedge tends to decrease the exchange risk exposure for an exporting firm asymmetrically, depending on the direction of movements in the exchange rates. The possibility of real option hedge may explain the statistical insignificancy of the empirical beta for the relationship between the exchange risk and the firm's value unlike in the previous empirical studies.