We calculate prices of first touch digitals under normal inverse Gaussian (NIG) processes, and compare them to prices in the Brownian model and double exponential jump-diffusion model. Numerical results are produced to show that for typical parameters values, the relative error of the Brownian...

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...