Pricing Model and Empirical Research of Convertible Bonds with Reset Clauses

The pricing model of convertible bonds with reset clauses having the feature of Parisian Option is provided in this paper.Through taking the number of the actual trading day as the number of nodes of the time variable and taking the market price of the stock as one of the nodes of the stock price variable,the three-dimensional grid is established.Moreover, the finite difference method is adopted to solving the pricing model,and the path of the price of the convertible bonds issued by Shandong Haihua Co.Ltd.has been gained.Results show that the theoretical value based on the model reflects the trend of changes of the market price preferably,and the reset clauses increases the value of convertible bonds,which is important for the investment decision of convertible bonds.