The credit loss accounts for both current risk and potential loss. Here, current risk for European call option is null until expiration, however the potential loss is with the amount of market price that should be deemed as opportunity cost.
And yes, it has to be 35 in your question.
It doesn't matter what the strike price or the underlying price are. The amount of credit risk borne by the long remains the market value of the option.
发表于 2012-5-26 14:03
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