Research Article
Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates
Table 1
Some notations and parameters.
| : domestic interest rate at | : strike price |
| : foreign interest rate at | : maturity date |
| : spot domestic currency price of a unit of foreign exchange at | : a Liu process |
| : log-drift of the spot currency price | : a Wiener process |
| : log-diffusion of the spot currency price | : uncertain measure |
| : European call currency option price | : expected value of |
| : European put currency option price | : variance of |
| | : normal distribution |
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