Consider a firm with a borrowing cost of 6% on unsecured, subordinated straight debt, and a current stock price of $19. The firm is able to issue a five-year convertible bond at par ($100) by offering a coupon rate of 3% and by offering a conversion ratio of 5.

Calculate the value of the convertible bond if a five-year European-style call option with a strike price of $20 on the share of the firm is $2.50 and the straight bond price is $87.36.