卖期权为啥不会有credit exposure呀？

NO.PZ2020033002000044 问题如下 Whiof the following tra woulhave the greatest potenticret exposure? Long 1,000 barrel of oil, livering in one ye Long 1,000 barrel of oil, livering in two years Short 1,000 barrel of oil, livering in two years Selling at-the-money call option on 10,000 barrel of oil for livery in two years B is correct.考点Cret exposure解析 卖期权不会产生 cret exposure，所以不选限越长，potenticret exposure越大，所以不选AShort期货，那它的收益最高情况就是现货的价格在交割日跌到0，所以你的赚钱空间最多就是0时刻的远期价格*份数。但是，如果你long一个期货，因为现货的上涨空间无限大，你以约定好的远期价格买入，那么你潜在的赚钱空间就无限大。所以不选C 选 我记得之前有个题目说是越临近到期，cret exposure会越大（foreign currenoption）。