Question
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
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
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Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen
16th edition
125927716X, 978-1259687969, 1259687961, 978-1259277160
