作者shenglegend (翼)
看板Statistics
标题[问题] credit exposure
时间Tue Apr 21 10:46:53 2009
各位统计板的大大好
小的有个问题想请问大家
You have purchased a one-year European 650-strike call option on a stock
index from your counterparty.The index currently stands at 600,its volatikity
is 25%,and the risk-free interest rate is 4% per annum,with continuous
compounding.Assuming that the rate of change of the index is normally
distributed,estimate your maximum potential credit exposure to your counter
-party,using a 95% confidence level.
谢谢大家
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