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

Table 9

Prices for 15% 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	0.0031477	0.0031503	0.0032142
	(1.24388)	(1.24397)	(1.24397)
2 M	0.0005302	0.0053178	0.0120455
	(1.26005)	(1.27429)	(1.27429)
3 M	0.0074126	0.0074553	0.0208664
	(1.27349)	(1.27429)	(1.27429)
6 M	0.0138051	0.0140366	0.0433107
	(1.30848)	(1.311672	(1.31167)
9 M	0.0207329	0.0213553	0.0616101
	(1.33813)	(1.34551)	(1.34551)
1 Y	0.0280719	0.0293209	0.0437222
	(1.36544)	(1.33788)	(1.33788)