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

Table 8

Prices for 25% 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	0.0054139	0.0054181	0.0058999
	(1.23193)	(1.23201)	(1.23201)
2 M	0.0086633	0.0086839	0.0138257
	(1.24274)	(1.24308)	(1.24308)
3 M	0.0116882	0.0117434	0.0232394
	(1.25188)	(1.25267)	(1.25267)
6 M	0.0204432	0.0207368	0.0480355
	(1.27581)	(1.27892)	(1.27892)
9 M	0.0293928	0.0301153	0.0706473
	(1.29652)	(1.30367)	(1.30367)
12 M	0.0385139	0.0399506	0.0909937
	(1.31587)	(1.32884)	(1.32884)