Price a 7.7% annual coupon convertible bond that has $100 face value, 2 years to maturity, CR=10. The bond is convertible from year 1 through maturity; but investors only choose to convert at the end of year 1 or year 2 (after coupons are paid). The bond is callable at par at the end of year 1. The term structure of interest rates is assumed to be flat at 11.01%. Assume the following binomial tree for the stock price evolution over the next 2 years. What is the fair price for this bond? Round your answer to 2 decimal places. For example, if your answer is 25.689, please write down 25.69.

t=0t=1t=2 22.25541 14.91825 10 10 6.7032 4.49329