Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes

Table 4

Values of parameters of the HCIR/LN/LU model (1).

0.1

0.2

0.02606

0.091

0.1000

0.00258

0.1000

0.9786

0.0644