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Task 1: 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
Task 2: Undertake one or more sensitivity analyses to explore the robustness of
your results to the assumptions made.
You should write up the completed financial model in a report of no more than
2,000 words, excluding title page, tables and figures, formulas and references.
In writing up your report, you should adhere to the following guidelines:

Here is the group work attached