Based on paper Aggregation of Correlated Risk Portfolios : Models & Algorithms

Calculates aggregate loss distribution for correlated portfolios as mentioned in the text, and obtains statistics of distribution

Demonstrates ADI implementation

This file contains code for getting option pricein VG model , based on method as described in paper Valuing American Options by simulation : A Simple Least-Squares Approach by Longstaff & Schwartz

Results are compared to values as mentioned in table 2 of paper Pricing American Options Under Variance Gamma by Hirsa and Madan

Calculates price for American/European option using Explicit scheme Finite Difference Method

Calculates Spread option price using Least Squares Monte Carlo method as described in Longstaff & Schwartz paper