You have a European call option with the following input parameters:

Current price: 71€

Strike price: 50€

Interest rate: 0.3%

Estimated volatility: 50%

Time till maturity: 2 years

The only quantity that is not known when an option is sold is the volatility. You have asked several experts who have described scenarios with 52%, 47%, 70%, 53%, 61%, 71% and 55%.

Perform a Monte Carlo simulation for a risk-sensitive evaluation of the fair option price.

Hint: Use the approximation formula ΔPΔσ≈∧\' tabindex="0">ΔPΔσ≈∧