3. Mrs. Smith believes that the price of a particular underlying, currently selling at $20, will increase substantially in the next six months, so she purchases a European call option expiring in three months on this underlying. The call option has an exercise price of $25 and sells for $2.60. a) How much is the current credit risk, if any? (Hint: European option may be exercised only at the expiration date of the option.) b) How much is the current value of the potential credit risk, if any? c) Which party bears the credit risk(s), Mrs. Smith or the seller?