
Explanation:
A is correct. Selling an option exposes the firm to zero counterparty credit risk as the premium is paid up front. However, buying an option would expose the firm to a counterparty credit risk. All the pieces of information necessary to price the option are provided but they are not necessary for answering the question.
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A
EUR 0
B
EUR 9.45
C
EUR 19.63
D
EUR 22.00