<title>Abstract</title> Foreign exchange options are studied in the Heston stochastic volatility model for the exchange rate combined with the Cox <italic>et al</italic>. dynamics for the domestic and foreign stochastic interest rates. The instantaneous volatility is correlated with the dynamics of the exchange rate return,...

Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327–343) stochastic volatility model with the CIR (Econometrica 53 (1985) 385–408) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to be correlated with...

In this paper, we present a stochastic volatility model with stochastic interest rates in a Foreign Exchange (FX) setting. The instantaneous volatility follows a mean-reverting Ornstein–Uhlenbeck process and is correlated with the exchange rate. The domestic and foreign interest rates are...