Closed formulas for the price and sensitivities of European

We derive closed formulas for the prices of European options and their sensitivities when the underlying asset follows a double-exponential jump diffusion model, as considered by S. Kou in 2002. This author has derived the option price by making use of double series where each term requires the computation of a sequence of special functions, such that the implementation remains difficult for a large part of financial users. Our present result provides an alternative to the Kouʹs formula easily to implement, even for the Excel/VBA environment.