The Wiener-Hopf Factorization for Pricing Options Made Easy

The paper suggests a new approach to pricing barrier options under pure non-Gaussian L ' evy processes with jumps of finite variation. The key idea behind the method is to represent the process under consideration as a difference between subordinators (increasing Levy processes). Such splitting rule applied to the process at exponentially distributed randomized time points gives us the possibility to find the option price by analytically solving simple Wiener-Hopf equations.