I'm looking for the correct characteristic function for the Kou (2002) jump diffusion model.
Can someone help me? Because if I try to look at it online everyone forgot $r$ and $S_0$.
This is what I have right now, but it's not right at all. Does someone know what's wrong with this function?
$$u=-0.5\sigma^2-\lambda\left(\frac{pn_1}{n_1-1}+\frac{(1-p)n_2}{n_2+1}-1\right)$$
$$\varphi(w) = \exp\left(iw(\ln(S_0)+(r+\lambda u) T)+T\lambda\left(\frac{pn_1}{n_1-iw}+\frac{(1-p)n_2}{n_2+iw}-1\right)-\frac{1}{2}\sigma^2T w^2\right)$$
