求助解题，Convertible Bond Arbitrage Analysis

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题目如下：
You support the trading desk of a hedge fund and you are analyzing aconvertible bond issue.  Make thefollowing assumptions: The convertible bond issue size is US$100 million, thebond’s maturity is 5 years, and the bond pays an annual coupon of 6%.  Each US$1000 worth of the bond can beconverted into 20 shares of the issuer’s common stock.  The common stock sells for US$60 per share.  You can borrow 100% of the bond’s purchaseprice at a rate of US$LIBOR plus 10 basis points.  The offer rate on a 3-year interest rate swapis 4.50% and the offer rate on a 3-year credit default swap, written on theconvertible bond, is 350 basis points. Let the strike price on the option embedded in the convertible bond beUS$70 per share.  Assuming, forsimplicity, that this option is European-style, what is the implied volatilityof the option embedded in the convert?


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关键词：Convertible Arbitrage Analysis Convert Analysi support annual borrow common points