Fast and efficient pricing barrier options under regime-switching levy models

Mathematical Modelling: Methods, algorithms, technologies

In the paper, fast and accurate numerical method for pricing barrier options under a wide class of regime-switching Levy models is developed. The problem is reduced to the numerical solution to the initial boundary value problem for systems of partial integro-differential equations. The algorithm of the solution is based on the efficient approximating Wiener-Hopf factorization and a stationary iterative method.