Before revision:  As far as we know, this is the first result on the Al\`os type decomposition formula for models with infinite active jumps . Moreover, investigating the rate of convergence as the time to maturity tends to 0 for each term in the obtained decomposition formula, we shall present an approximate option pricing formula, and implement numerical experiments, which show that our approximation formula is effective for in-the-money options .
After revision:  As far as we know, this is the first result on the Al\`os type decomposition formula for models with infinite active jumps .