Research Article
Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes
Table 1
Market volatility
for USD/EUR derivative exchange rate on June 13, 2005 (original source of data: Banca Caboto S.p.A., Gruppo Intesa, Milano).
| | Delta | −10% | −15% | −25% | ATMF (50%) | 25% | 15% | 10% |
| | 1 M | 10.36% | 10.09% | 9.73% | 9.30% | 9.15% | 9.18% | 9.25% | | 2 M | 10.28% | 10.01% | 9.65% | 9.25% | 9.15% | 9.22% | 9.31% | | 3 M | 10.22% | 9.95% | 9.62% | 9.25% | 9.19% | 9.28% | 9.39% | | 6 M | 10.23% | 9.95% | 9.64% | 9.35% | 9.39% | 9.55% | 9.74% | | 9 M | 10.22% | 9.96% | 9.96% | 9.40% | 9.49% | 9.68% | 9.88% | | 1 Y | 10.24% | 9.98% | 9.69% | 9.45% | 9.56% | 9.77% | 9.99% | | 2 Y | 10.28% | 10.02% | 9.74% | 9.55% | 9.72% | 9.98% | 10.24% |
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