Case 1 (a 7-year convertible) Case 2 (a 20-year convertible)
Type of volatility ATM implied Black-Scholes volatility Annualized historical volatility
Value of volatility 31.87% 18.07%
Model price 134.32 171.58
Market observed price 134.88 169.77
Difference -0.42% 1.07%