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POST
/
quantlib
/
models
/
kou
/
price
Kou Double Exponential Jump Model
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/kou/price \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S": 100,
  "K": 105,
  "T": 0.75,
  "r": 0.05,
  "sigma": 0.18,
  "lambda_jump": 3,
  "p": 0.4,
  "eta1": 10,
  "eta2": 15,
  "q": 0
}
'
{
  "success": true,
  "data": {
    "kou_call_price": 5.18
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
S
number
required

Current stock price

​
K
number
required

Strike price

​
T
number
required

Time to maturity in years

​
r
number
required

Risk-free rate

​
sigma
number
required

Diffusion volatility

​
lambda_jump
number
required

Jump intensity (average jumps per year)

​
p
number
required

Probability of upward jump (0 < p < 1). Complement (1-p) is downward jump probability

​
eta1
number
required

Upward jump mean (decay rate of positive exponential). Typical: 5-30

​
eta2
number
required

Downward jump mean (decay rate of negative exponential). Typical: 5-30

​
q
number
default:0

Dividend yield

Response

Successfully priced Kou model option

​
success
boolean
Example:

true

​
data
object
Example:
{ "kou_call_price": 5.18 }