The Kou model is the jump-diffusion with double-exponential log-jumps: with probability the jump is up and exponential with rate , otherwise down and exponential with rate , so . Its parameters are .
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
The Kou model is the jump-diffusion with double-exponential log-jumps: with probability the jump is up and exponential with rate , otherwise down and exponential with rate , so . Its parameters are .