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

Table 5

Prices of ATM USD/EUR European exchange rate call options using data of June 13, 2005.

Maturity	Heston price	HCIR price	HCIR-LN-LU price
1 M	0.0128496	0.0128912	0.0129512
2 M	0.0190734	0.0192465	0.0233037
3 M	0.0245511	0.0249469	0.0322193
6 M	0.0390888	0.0407209	0.0585503
9 M	0.0526127	0.0556335	0.0816888
12 M	0.0656178	0.0699566	0.102082