You work in the Finance Department of a large Life Insurance Company. You$$re your firm is considering the purchase of the issue of a new Convertible Bond issue by the Elkco Co$.$ You have been assigned to establish a reasonable price for these securities$.$

These bonds have a Face Value $$1,000,$ mature in five years, and pay $3\mathrm{.}50\%$ annual coupons. They are convertible into $40$ shares of stock during their life.

The firm also has a straight bond issue outstanding that has a Face Value $$1,000,$ by chance they also mature in five years, and pay $6\mathrm{.}75\%$ annual coupons. These securities are currently trading for $$1,064\mathrm{.}50.$

Elkco$$s stock is currently trading for $$36\mathrm{.}75$ per share, and you feel that $0\mathrm{.}36$ is a reasonable estimate for the Sigma of the firm$$s stock.

What is the value of a Call Option based on the current share price and the conversion price of the Elkco convertible bonds? $($The answer is in dollar, round to two decimal places, e$.$g$.16\mathrm{.}75)$