3级考试里面对于option 的credit risk,
Notes 说 the credit risk of European Option is always potential, and the amount is equal to its value calculated by Black-Schole.
and the credit risk amout for same American Option is at least the amount of correponding European option.
但我在做09年真题的时候发现（Question 9-B-ii），他计算European option的credit risk 是the amount in the money, not the option price.
所以option的credit risk 在option in the money的时候 到底该怎么算？
以下是我的一个模板，谁能帮我填满阿？
American
Long bears the Credit risk
In the money????
Out of the money: The option price
European
Long bears the potential Credit risk
In the Money ???
Out of the Money: The option price
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发表于 2011-6-3 23:47
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