A Pricing Model of Convertible Bond in Light of Exchange Option

Convertible Bond is uncommon for its option incorporated structure.By studying the nature of incorporated option,it is clear that incorporated option is not a standard option,but an exotic option called Exchange Option.Pricing models of convertible bond has seldom involved this point before.They simply regarded the option incorporated with convertible bond as a standard option.So there is need to improve the pricing model significantly in light of Exchange Option under the conditions of Vesicek model.