[CFA Level 3] 三级 Mock 2010 Q17 about credit risk option, market, credit, 答案

ssigh

如里面题目，一个call option buy for 30,现在市场价格是35
答案的credit loss是35

假设现在问题改为 一个call option buy for 30,strike price is 50,underlying is 60.current market price is 35

答案还是一样吗？

Hang-Directions

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.

sweetie

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.