Convertible Bond Pricing under Jump-Diffusion Model

In recent months, there has been a significant fluctuation with stock prices experiencing a sustained decline in China’s stock market. Many convertible bond prices related to the above stocks have not been spared and even some prices are lower than their face value. It is usually more practical to set an upper limit on the price of the stock when we consider the dual characteristics of stocks and bonds of the convertible bond. Based on this fact, we study the pricing problem of the convertible bond with stock price fluctuating within a certain interval and a jump-diffusion process under risk-neutral conditions in this paper. In the empirical analysis, we utilize the actual market data of the stock to obtain the value of the convertible bond and compare it with real market prices. At the same time, the sensitivity of the convertible bond is analyzed.