中文摘要：

基于多期复合期权理论，建立了可转换公司债券定价的控制方程，依据可转债的特征提出了相应的边界条件和终端条件，并采用有限差分方法进行了数值模拟，从而克服了复合期权模型中求解高维嵌套积分的困难，显著地提高了计算效率。实例计算表明，采用普通债券与欧式期权价值相加的定价方法大大低估了可转换公司债券的内在价值，复合期权定价方法为可转换公司债券的设计与定价提供了一种新的思路。

英文摘要：

This paper presents a new pricing approach for convertible bonds based on multi-stage compound option model. Building the governing partial differential equation and proposing the corresponding boundary conditions and terminal conditions, this paper solves the governing equations by finite differential method to avoid the calculation of nested high dimensions integrals. The result shows that popular pricing approach, which decomposes convertible bonds into European option and bonds, underestimates significantly value of convertible bonds, and the compound option pricing approach is more consistent with the practice.