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.