As a derived form of barrier options, Parisian option is a kind of exotic one with strong path-dependency. Many restrictive clauses of convertible bonds are characteized by Parisian option, which effect greatly on the value of convertible bonds and the optimal exercise strategy. The effect of soft call restriction clauses and call notice period restriction clauses on the value of convertible bonds was analyzed. On the basis of the characteristics of he Parisian option of convertible bonds,the pricing governing partial differencing equation of convertible bonds was established , and the boundary conditions proposed with the help of the game between investors and issuers. The solution to the problem by numerical methods was also given based on whole the grid simulation.