本文的主要內容為評價JPMorgan Chase & Co.（美國摩根大通銀行）及UBS（瑞士銀行）所發行的兩檔結構型票券，共同的特色是票券為保本型且不付息，報酬條款中附有雙重界限觸及失效選擇權，其價值對於標的資產的波動程度相當敏感。一旦標的資產價格觸及任一界限，具有額外收益的選擇權將失效，投資人僅能拿回原始投資本金，相當於損失了原本可能獲得的無風險利息。
　　針對雙重界限觸及失效選擇權，我們使用顯式、隱式以及Crank-Nicolson三種有限差分法來進行評價，並比較蒙地卡羅模擬和封閉解的結果，藉以了解各種方法的準確性及效率。接著我們求算避險參數Greeks，分析發行商所面臨的風險。同時根據市場未來的情況，分析投資人的預期收益，進而了解這種商品在市場上廣為流通的原因，以及此類新奇結構型商品對於風險的重分配方式，如何締造買方賣方雙贏的局面。

中文部分：
1.陳松男（民94）：金融工程學－金融商品創新與選擇權理論，新陸書局
2.陳松男（民93）：結構型金融商品之設計及創新，新陸書局
3.陳松男（民94）：結構型金融商品之設計及創新（二），新陸書局
4.陳威光（民91）：選擇權－理論‧實務與應用，智勝出版社
5.謝嫚琦（民93）：結構型債券之評價與分析，國立政治大學金融研究所碩士論文
6.李映瑾（民94）：結構型商品之評價與分析－每日計息雙區間連動及匯率連動債券，國立政治大學金融研究所碩士論文

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