  We derived similar to Bo et al. (2010) results but in the case when the
dynamics of the FX rate is driven by a general Merton jump-diffusion process.
The main results of our paper are as follows: 1) formulas for the Esscher
transform parameters which ensure that the martingale condition for the
discounted foreign exchange rate is a martingale for a general Merton
jump--diffusion process are derived; using the values of these parameters we
proceeded to a risk-neural measure and provide new formulas for the
distribution of jumps, the mean jump size, and the Poisson process intensity
with respect to the measure; pricing formulas for European call foreign
exchange options have been given as well; 2) obtained formulas are applied to
the case of the exponential processes; 3) numerical simulations of European
call foreign exchange option prices for different parameters are also provided;
4) codes for Matlab functions used in numerical simulations of option prices
are given.
