The article develops a model to price convertible bonds with call provision, combining debt and equity features. A two-factor valuation model is created using a binomial tree approach, incorporating interest rate and stock price fluctuations. Default risk is included in the model, and the performance is compared to the Canadian convertible bond market. The study also explores risk metrics like duration, convexity, and Greeks, and constructs a convertible bond arbitrage portfolio to capture abnormal returns through Delta hedging strategy.