This paper applies a real options approach to theoretically investigate the relationship among exchange rate volatility, antidumping policy and foreign direct investment. Our results indicate that under exchange rate uncertainty, antidumping policy might stimulate dumping firms to undertake foreign direct investment, especially if the filing country adopts price undertaking measures. However, if the fixed costs of foreign direct investment are much lower in a third country than those of the filing country, the dumping firms tend to undertake foreign direct investment in the third country instead. In addition, the higher the exchange rate uncertainty is, the more likely the foreign direct investment is to occur. These results reveal the close interactive relationship among exchange rate volatility, antidumping policy and foreign direct investment.