Pricing convertible bonds and change of probability measure

The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market. By using the method of numeraire changes to evaluate convertible bonds when the value of firm, and those of zero-coupon bonds follow general adapted stochastic processes in this paper, using It_o theorem and Gisanov theorem. A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.