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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
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 dealers CVA per option purchased from the counterparty? (Show Work)
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