Asmussen, Soeren; Madan, Dilip; Pistorius, Martijn - arXiv.org - 2007
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY L\'{e}vy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option...