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

Table 7

Prices for ATM USD/EUR European exchange rate call options using data of June 13, 2005. Values in brackets are strike levels obtained using formula (71).

Maturity	Heston price	HCIR price	HCIR-LN-LU price
1 M	0.0128496	0.0128546	0.0128697
	(1.21019)	(1.21028)	(1.21028)
2 M	0.0190734	0.0190999	0.0222887
	(1.21184)	(1.21217)	(1.21217)
3 M	0.024422	0.02449323	0.0319434
	(1.21369)	(1.21428)	(1.21428)
6 M	0.0386608	0.0390158	0.0573285
	(1.21992)	(1.22289)	(1.22289)
9 M	0.0518264	0.0527189	0.0790228
	(1.22652)	(1.23329)	(1.23329)
12 M	0.0644786	0.0681417	0.0988909
	(1.23356)	(1.24071)	(1.24071)