We suggest a general scheme for improvement of FT-pricing formulas for European option and give efficient recommendations for the choice of the parameters of the numerical scheme, which allow for very accurate and fast calculations. The efficiency of the method stems from the properties of...

The pricing problem for American options in Markov-modulated Lévy models is solved. The early exercise boundaries and prices are calculated using a generalization of Carr's randomization procedure for regime-switching models. The pricing procedure is efficient even if the number of states is...