A Simple Wiener-Hopf factorization method for pricing options with barriers in Levy-driven models

The talk suggests a new approach to pricing options with barriers under pure non-Gaussian Levy processes. The key idea behind the method is to represent the process under consideration in short time intervals as consequent upward and downward movements. We use such a splitting rule to the Levy process at exponentially distributed randomized time points. Then we obtain the barrier option price by recurrent solving simple Wiener-Hopf equations.