Research Article
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 |
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