The Pricing of Convertible Bond with Dynamic Credit Risk

This paper applies the pricing of martingale way to give a precise value formula of convertible bonds, which thoroughly considers the callable clauses, put-able clauses, credit risk and dilutendness of stock. The application in the company of NanJing Shuiyun's convertible bond shows that the values of pricing formula fit the market values very well and have good forecasting ability. Therefore, this will helps the convertible bonds issue companies, investors, supervisory institutions and agency institutions to realize the pricing mechanism of convertible bonds, and to set up a mature risk-avoid financing tool in our country. In the result, it will drive the bond market to develop.