A bank has written a European call option on one stock and a European put option on another stock.

For the first option, the stock price is $50,$ the strike price is $51,$ the volatility is $28\%$ per annum, and the time to maturity is nine months.

For the second option, the stock price is $20,$ the strike price is $19,$ the volatility is $25\%$ per annum, and the time to maturity is one year.

Neither stock pays a dividend, the risk$-$free rate is $6\%$ per annum, and the correlation between stock price returns is $0\mathrm{.}4.$

Calculate a $10-$day $99\%$ VaR by using Monte$-$Carlo simulations in excel and then generate $5000$ simulated prices in ten days for each of the two stocks. Assume the

expected returns are zero.. show all excel steps and functions!!

Based on the simulated stock prices, compute the percentage return for the bank$$s

position in the options for each simulation trial. Report the sample mean, standard

deviation, and the $10-$day $99\%$ VaR for the bank$$s position $($all should be in percentage

returns$).$ What is the Sharpe ratio of the bank$$s position? Why do you think Sharpe

ratio might not be an appropriate performance measure in this case? show all excel steps and functions!!