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中文摘要：
以股票价格、随机利率、违约发生的概率作为可转换债券的基础变量,运用无套利定价原理,得出了可转换债券的三因素PDE定价模型;其次,进一步给出了带向下修正条款的可转换债券的定价公式;同时,运用Feynman-Kac公式得出了在违约发生时债券损失值LtV等于St、rt、ht市场风险损失值之和的结论.
英文摘要：
This paper has established three-factors PDF pricing model of convertible bonds through no-arbitrage principle on the assumption that the underlying variables of convertible bonds is assumed stock, interest rate and default probability. The pricing formula of CBs with downwards- redressal provision has also been obtained. The conclusion is derived that the lost value of CBs in [ t, t ＋ dt ] is the summation of the credit value of S,, the credit value of r, and the credit value of h, by using the Feynman-Kac formula.
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