Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework

In this paper, we consider the Heston-CIR model with Lévy process for pricing in foreign exchange (FX) market by providing a new formula that better fits distribution of prices. To do that, first, study existence and uniqueness solution to model. Second, examine strong convergence stochastic domestic short interest rates, rates volatility. Then, apply Least Squares Monte Carlo (LSMC) method American options under our volatility rate. Finally, considering real-world data, illustrate numerical results four-factor