Bank A and Bank B are two competing investment banks. The banks are calculating the 1-day 99% VaR for a long position in an at-the-money call option on a non-dividend-paying stock with the following information:

• Current stock price: USD 120

• Estimated annual stock return volatility: 18%

• Current Black-Scholes-Merton call option value: USD 5.20

• Call option delta: 0.6

To compute VaR, Bank A uses the delta-normal model, while Bank B uses a Monte Carlo simulation method for full revaluation. Which bank will most likely estimate a higher value for the 1-day 99% VaR?