Research Article
Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes
Table 2
Market strike prices for USD/EUR derivative exchange rate on June 13, 2005 (original source of data: Banca Caboto S.p.A., Gruppo Intesa, Milano).
| | Strike | −10% | −15% | −25% | ATMF (50%) | 25% | 15% | 10% |
| | 1 M | 1.1651 | 1.1745 | 1.1877 | 1.2101 | 1.2317 | 1.2435 | 1.2519 | | 2 M | 1.1496 | 1.1626 | 1.1807 | 1.2116 | 1.2421 | 1.2591 | 1.2712 | | 3 M | 1.1370 | 1.1529 | 1.1752 | 1.2134 | 1.2518 | 1.2735 | 1.2891 | | 6 M | 1.1129 | 1.1350 | 1.1660 | 1.2189 | 1.2753 | 1.3081 | 1.3324 | | 9 M | 1.0968 | 1.1233 | 1.1609 | 1.2246 | 1.2951 | 1.3369 | 1.3680 | | 1 Y | 1.0843 | 1.1147 | 1.1579 | 1.2307 | 1.3140 | 1.3638 | 1.4013 | | 2 Y | 1.0561 | 1.0984 | 1.1596 | 1.2562 | 1.3826 | 1.4606 | 1.5205 |
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