Bond with attached warrant is refer to the company bond that attacheswarrant while the listed company is issuing company bond , it is a productportfolio of corporate bond and warrant, and is the product of warrants andcorporate bonds that is issued by bundling,But at the same time it has thecharacteristics that bond and warrant transact separably.

This paper uses the Martingale method to study the pricing of the bond with attached warrant under the continuous time and obtains pricing formula of the bond with attached warrant,Here supposes that the stock price follows a log-normal distribution,the fluctuating rate of the stock price and the risk-free interest rate all are the definite continuous function of time.

Nevertheless, as a result of regulating restrictions and lack of benchmark interest rate, the reasonable basis for bond pricing has not been formed yet.