KouMarket

A Kou (2002) double-exponential jump-diffusion market: like MertonJumpMarket but the log jump size is asymmetric two-sided exponential — up-jumps are Exp(etaUp) with probability probUp, down-jumps are -Exp(etaDown) otherwise. This reproduces the sharp peak and heavy, asymmetric tails of equity returns better than a lognormal jump.

etaUp > 1 is required for the compensator to be finite.