Exercise 6 3 Consider two jump diffusion Kou models with parameters , , , p, 1, 2 and , ,, p, 1, 2 Find the change of measure to transform the first one into the second one Can you do it using only an Esscher transform

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Question: Exercise 6.3 Consider two jump-diffusion Kou models with parameters , , , p, 1, 2 and , ,, p, 1, 2. Find the change of

Exercise 6.3 Consider two jump-diffusion Kou models with parameters μ, σ, λ, p, η1,

η2 and ˜μ, σ,˜λ, ˜p, ˜η1, ˜η2. Find the change of measure to transform the first one into the second one. Can you do it using only an Esscher transform?

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