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