Abstract: Through a theoretical model,this research studies the under pricing problem in the convertible bo nds market,and finds that the separation of asset pricing and corporate finance is one of the major reasons for the under pricing problem.And the numerical analysis proves the conclusion of the theoretical model.So emerging the corporate and asset pricing provides a breakpoint for the research about the under pricing and smiling phenomenon in the convertible bonds market.

Key words: convertible bonds, market price, theoretical price, under ricing