To solve the problem of “debt stickiness” in a company's capital structure due to the insufficient “equity” of convertible bonds, a capital structure adjustment model based on exotic options of convertible bonds is proposed. According to the model, convertible bond holders are divided into high-value convertible bond holders (HCB), low-value convertible bond holders (LCB) and separate investors. By improving the convertible bond-to-equity mechanism, a short-selling mechanism is introduced. Different types of convertible bonds holders can make decisions based on their subjective confidence in the underlying stock. The research results show that the improved conversion mechanism can significantly increase the total conversion rate of convertible bonds, thus effectively solving the problem of adjustment speed downward of the company's capital structure. The validity and practicability of the proposed model and method are verified by numerical examples, and it also provides a new way for the study of convertible debt-to-equity mechanism.