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

Table 6

Prices of 25% USD/EUR European exchange rate call options using data of June 13, 2005.

Maturity	Heston price	HCIR price	HCIR-LN-LU price
1 M	0.0005469	0.0054274	0.0062094
2 M	0.0088177	0.0089194	0.0140153
3 M	0.0116882	0.0119536	0.0224628
6 M	0.0205735	0.0216388	0.0457036
9 M	0.0297421	0.0323061	0.0663260
12 M	0.0389762	0.0437765	0.0849682