Numerical methods for Lévy processes

@article{Hilber2009NumericalMF,
  title={Numerical methods for L{\'e}vy processes},
  author={Norbert Hilber and Nils Reich and Christoph Schwab and Christoph Winter},
  journal={Finance and Stochastics},
  year={2009},
  volume={13},
  pages={471-500}
}
We survey the use and limitations of some numerical methods for pricing derivative contracts in multidimensional geometric Lévy models. 

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