A structured PDE framework for pricing resettable convertible bonds
在混合折现范式下，将可转换债券分解为风险债券和转换期权，用矩阵值退化抛物系统建模重置条款，并通过有限差分法求解，兼顾解析清晰与计算效率。
We present a unified PDE framework for pricing resettable convertible bonds within the blended-discounting paradigm. The convertible-bond value is decomposed into a risky bond and a separately identified conversion-option component, which admits a closed-form solution in the conversion-only case. Reset clauses are modeled as a matrix-valued degenerate parabolic system, solved through a stable and convergent finite difference scheme. The resulting formulation preserves analytical clarity and computational efficiency.