Do we assume European or American options?

When evaluating potential credit loss of options?

If it’s American than you have a current credit risk (can be excercised at any time), if it’s European, you will have potential credit risk. But usually it’s given in the question which type of option you have.

i think it’s the other way around. American is current, European is potential.

But, to answer question, we assume European… but it should be given in the question.

Sh*t of course. That shouldn’t happen on Saturday :wink: