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