Counterparty risk is usually defined as the risk which stems from the fact that the counterparty of a derivative contract is not solvent before or at expiration. As most of the derivative trading activity has been moving from standardized products quoted on futures‐style markets, towards customized products traded on over‐the‐counter markets, the issue of counterparty risk evaluation has increasingly gathered momentum and is now one of the hot topics in option pricing theory. The corresponding options are named vulnerable.