RETRACTED: Convertible Bond Pricing Based on Variance Gamma Model (Retracted Article)

In this paper, we describe the dynamic underlying asset with Variance Gamma process(VG), which is one of classical Levy process with unnormal log distribution but skewness and kurtosis, we calculate the price of CB with Modified Multi Tree (MMT) model, which is the combination of Multi-stage Compound Option model (MCO) and Multi-Tree model (MT). By estimating the pricing error and comparing our results with Black-Scholes approach, we can show that the new approach does provide a more accurate approximation approach for the valuation of CB.