A derivatives dealer has a single transaction with a company which is a long position in a five-year option.The Black-Scholes-Merton value of the option is $6.Suppose that the credit spread on five-year bonds issued by the company is 100 basis points.What is the dealer's CVA per option purchased from the counterparty?
A) $0.19
B) $1.19
C) $0.29
D) $1.29
Correct Answer:
Verified
Q1: Which of the following is true
A) Conditional
Q3: Which of the following is true
A) Netting
Q4: Which of the following is true
A) The
Q5: Which of the following is usually used
Q6: Which of the following is true
A) The
Q7: Which of the following is true
A) Downgrade
Q8: To be investment grade,a company has to
Q9: Which of the following is true
A) Recovery
Q10: The credit spreads for a counterparty for
Q11: Which of the following is true?
A) Risk
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