The paper reviews the most critical state priorities in organizing the assistance and development of international trade. The first challenge is the creation and development of Digital Customs that ensure implementing a "single window" technology based on a digital platform - for organizing the...

The paper suggest a new approach to pricing barrier options under pure non-Gaussian Levy processes with jumps of finite variation. The key idea behind the method to represent the process under consideration as a difference between subordinators (increasing Levy processes). Such splitting rule...

We describe a numerical method for solving 3-dimensional partial differential equations, which arise in mathematical finance and other applications. The goal of the paper is to introduce a technique based on Wiener-Hopf factorization with application of Laplace transform. We analyze the problem...

Motivated by the pricing of first touch digital options in exponential Lévy models and corresponding credit risk applications, we study numerical methods for solving related partial integro-differential equations. The goal of the paper is to consider advantages of the Laplace transform-based...

We derive a general formula for pricing options with barrier and/or lookback features, which covers several types of options studied in the literature and new types of options, and demonstrate that the pricing formula can be efficiently realized using the methodology developed in Kudryavtsev and...

In the paper, we propose two new efficient methods for pricing barrier option in wide classes of Lévy processes with/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf factorization method developed in Kudryavtsev and...

We suggest two new fast and accurate methods, Fast Wiener-Hopf method (WHF-method) and Iterative Wiener-Hopf method (IWH-method), for pricing barrier options for a wide class of L'evy processes. Both methods use the Wiener-Hopf factorization and Fast Fourier Transform algorithm. Using an...

We consider the problem of pricing swing options with multiple exercise rights in Lévy-driven models. We propose an efficient Wiener--Hopf factorization method that solves multiple parabolic partial integro-differential equations associated with the pricing problem. We compare the proposed...

We analyze properties of prices of American options under Levy processes, and the related difficulties for design of accurate and efficient numerical methods for pricing of American options. The case of Levy processes with insignificant diffusion component and jump part of infinite activity but...