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I'm working in double exponential Jump-diffusion model (we know as kou model) with following form , under the physical probability measure $P$: \begin{equation} ‎\frac{dS(t)}{S(t-)}=\mu‎‏ ‎dt+\sigma ‎dW … \eta_2 e^{‎\eta_2 x‎} ‎‎‎\upharpoonleft_{x<0},\eta_1>1,\eta_2>0 \end{equation} Also in ‎$ ‎\eta‎‏ = ‎\int_{‎\mathbb{R}‎}(e^x-1)f(x) ‎dx‎ $‎‎ represents the expected relative price change due to a jump
asked Jul 6 '15 by pual ambagher