Abstract: Starting from the option characteristics implied in convertible bonds, the investment value analysis made by an investor was included in the decision-making framework. Based on the multi-stage scenario tree model, the 0-1 integral chance programming was done with the constraint on P/E chance and the investor's decision for transferring bond to stock at a scenario tree node both taken into account. With the empirical analysis using the actual data in the case that the bond had been transferred to stock in HAN-STEEL, the following conclusions were drawn. For the investors the optimum decision is to hold convertible bonds so as to gain the stable return on investment if ensuring that the probability in the whole period of the bond transferring to stock is up to 95%. Compared with the conventional securities option, the upper limit of the value of securities option is restricted by the 0-1 integral chance programming because of the chance constraint on the investment value, thus limiting the investment risk for investors.