Pricing Model of Convertible Bond with Credit Risk

The problem of discordance between theoretical price and actual price of convertible bonds that this paper firstly bring forward according to the article of Fan Xinting's empirical test on convertible bond pricing model under stochastic interest rate is that there is no consideration of credit risk in pricing convertible bond; Secondly, to describe the development of convertible bond pricing model, which includes three procedures:one factor pricing model, two factors pricing model and credit risk pricing model;Finally,to develop PDE and constraints of convertible bond pricing model with credit risk on the basis of convertible bond pricing model without credit risk and a risk bond pricing model.