We consider stochastic differential equations driven by a general Levy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We approximate the solution of PIDE using a numerical method for the SDEs. The method is based on three ingredients: (i) we approximate small jumps by a diffusion; (ii) we use restricted jump-adaptive time-stepping; and (iii) between the jumps we exploit a weak Euler approximation. We prove weak convergence of the considered algorithm and present an in-depth analysis of how its error and computational cost depend on the jump activity level. Results of some numerical experiments, including pricing of barrier basket currency options, are presented.
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