closed formulas for the price and sensitivities of european options under a double exponential jump diffusion model

we derive closed formulas for the prices of european options andtheir sensitivities when the underlying asset follows a double-exponentialjump diffusion model, as considered by s. kou in 2002. this author hasderived the option price by making use of double series where each termrequires the computation of a sequence of special functions, such thatthe implementation remains difficult for a large part of financial users. ourpresent result provides an alternative to the kou's formula easily toimplement, even for the excel/vba environment.