Question: Firm ABC issues two similar bonds, a regular bond and a convertible bond (that same bond but include a convertibility option). The regular bond has

Firm ABC issues two similar bonds, a regular bond and a convertible bond (that same bond but include a convertibility option). The regular bond has semi-annual 5% coupon $1,000 par, 20 years to maturity and YTM of 6%. The convertible bond is trading at $901.06. What is the value of the conversion option, in percent to 2 decimal places, to the bond holder?

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