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...

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...