Due to the ‘spike and tail’ phenomenon of asset returns, the applicability of the Black-Scholes model for pricing convertible bonds has been questioned, and the variance gamma model can cope well with this phenomenon and solve the ‘volatility smile dilemma’. This paper combines the variance gamma model with the least squares Monte Carlo simulation method to empirically analyze the Everbright convertible bonds based on its high activity in the Chinese market. In this paper, the theoretical price and the actual price are compared, and the applicability of the variance gamma model in the Chinese convertible bond market is analyzed. The empirical results show that the fitting price obtained by the variance gamma model is consistent with the actual price trend, indicating that the method is applicable to the Chinese convertible bond market.