Research Article
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 |
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