In order to understand Søren Kierkegaard's famous concept of "leap of faith" we need to first explain what he means in the general notion of "leap" and its place in Kierkegaard's existential philosophy. Kierkegaard offered the term "leap" to replace the Hegelian notion of mediation between two opposing elements. Kierkegaard's concept of leap points to a state in which a person is faced with a choice that cannot be justified rationally and he therefore has to leap into it. The leap of faith is, therefore, a leap into faith which is allowed by it, stemming from a Paradoxical contradiction between the ethical and the religious.
Kierkegaard's classic and most important example of such a leap is Abraham's Leap of faith. In Fear and Trembling Kierkegaard suggests that the ethical is incommensurable with the religious, killing your own child cannot be mediated with obeying God. This is why Abraham had to perform a leap of faith when he obeyed God but still maintained faith that Isaac would live.
The leap of faith is named by Kierkegaard that way since it is a leap towards faith, moving from the aesthetic sphere of life to the religious one (see Kierkegaard's three spheres of existence) . It is also a leap of faith since faith, not reason, is the only thing that can enable it. Abraham could not have found a rational justification for his actions, it is only the leap that made him father of faith or as Kierkegaard puts it: knight of faith.
In the concept of leap of faith Kierkegaard rejects a great part of rationalist philosophy such as Rene Descartes and up to Hegel who believed that God can be rationally proven and that faith can rely on sound logic. For Kierkegaard there is no reason in faith, and that is what makes it a leap. The concept of leap of faith is closely tied to Kierkegaard's concept of the individual and the concept of paradox or absurd.