I have coded it up and would like to test my implementation on various parameter sets.Does anyone have an implementation and a few free minutes to spend calculating a series of option prices and posting the results, or checking results that I can post?Let me know.Rgds and thanks

failing that, artur sepp has written a couple of papers using the laplace transform inverse - that's more robust than the infinite sum of Hh series that the original Kou paper uses

QuoteOriginally posted by: StylzI have coded it up and would like to test my implementation on various parameter sets.Does anyone have an implementation and a few free minutes to spend calculating a series of option prices and posting the results, or checking results that I can post?Let me know.Rgds and thanksI might be able to modify something to check a few.When you post your results, use the parameter notation from this Kou & Wang paperI will use the method from my Simple Option Formula ... paper.FYI: The Kou model char. func. discussed in my paper (Table 2.1) has a typo (mine), and refers to an earlier versionof the model (theirs) so anybody trying to repeat what I do will need to correct for all that.

Thanks to you both, and Alan, thanks very much to you for being willing to lend a few minutes of your time.I need to do some more review before posting anything. My results do not make sense for long-dated options; the formulas blow up for T bigger than a few years.spursfan, perhaps this is what you meant by the Laplace transform method being more robust?I am going to give my implementation some tweaks before I post anything. I will revert back when I have something.rgds

Thanks for your patience.My implementation is almost done. Actually I took a look at some of Kou's results in his various papers, and I seem to be able to match his values out to 7 or 8 decimals. That was encouraging.However, all of these tests were done with n1 = n2. He has one option value in his paper "A Jump Diffusion Model for Option Pricing" for which n1 = 10 and n2 = 5, and interestingly, I cannot replicate that number.To me this seems very strange ... I would expect to be able to match in both cases. So far I have not come across any lines where I misused n1 or n2, but I am going to keep hunting. Perhaps my issue is somewhere else.I will revert back when I have found this bug.Thanks again, and best regards.