CROSBY, JOHN; SAUX, NOLWENN LE; MIJATOVIĆ, ALEKSANDAR - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 63-91
We examine how to approximate a Lévy process by a hyperexponential jump-diffusion (HEJD) process, composed of Brownian motion and of an arbitrary number of sums of compound Poisson processes with double exponentially distributed jumps. This approximation will facilitate the pricing of exotic...