← Back to results Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes Rehez Ahlip & Ante Prodan
Abstract We examine foreign exchange options in the jump-diffusion version of the Heston stochastic volatility model for the exchange rate with log-normal jump amplitudes and the volatility model with log-uniformly distributed jump amplitudes. We assume that the domestic and foreign stochastic interest rates are governed by the CIR dynamics. The instantaneous volatility is correlated with the dynamics of the exchange rate return, whereas the domestic and foreign short-term rates are assumed to be independent of the dynamics of the exchange rate and its volatility. The main result furnishes a semianalytical formula for the price of the foreign exchange European call option.
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@article{rehez2015,
title = {{Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes}},
author = {Rehez Ahlip & Ante Prodan},
journal = {International Journal of Stochastic Analysis},
year = {2015},
doi = {https://doi.org/https://doi.org/10.1155/2015/258217},
} TY - JOUR
TI - Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes
AU - Ahlip, Rehez
AU - Prodan, Ante
JO - International Journal of Stochastic Analysis
PY - 2015
ER - Rehez Ahlip & Ante Prodan (2015). Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes. *International Journal of Stochastic Analysis*. https://doi.org/https://doi.org/10.1155/2015/258217 Rehez Ahlip & Ante Prodan. "Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes." *International Journal of Stochastic Analysis* (2015). https://doi.org/https://doi.org/10.1155/2015/258217. Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes
Rehez Ahlip & Ante Prodan · International Journal of Stochastic Analysis · 2015
https://doi.org/https://doi.org/10.1155/2015/258217 Copy
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