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Estimate the var and cvar of the pg call option

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Use the Monte Carlo simulation approach to estimate the VaR and CVaR of the PG call option using the following parameters (note: you do NOT need to estimate the VaR or CVaR of the stock):

Option strike price: 125.00

Expiration date: 25 February 2021

VaR confidence levels: 50%, 60%, 70%, 80%, 90% VaR horizon: the remaining life of the option Volatility: implied volatility of the option

Risk free rate: current 3-month US Treasury bill yield Expected return: assume to be zero

Dividends: assume to be zero

Reference no: EM132753562

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