Geodesic
Arbitrage-free option prices on global markets
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 13, Tome 361 (2008), pp. 5-28

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We consider explicit expressions for pricing straddles, strangle and risk reversals on currencies assuming two versions of market dynamics, namely the Garman–Kohlhagen model and the Heston model. The expressions derived in the paper are applicable for analytical and numerical pricing and for the model calibration to market data. Bibl. – 14 titles. 
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     author = {Ya. Belopol'skaya and S. Filimonova},
     title = {Arbitrage-free option prices on global markets},
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     pages = {5--28},
     publisher = {mathdoc},
     volume = {361},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2008_361_a0/}
}
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Ya. Belopol'skaya; S. Filimonova. Arbitrage-free option prices on global markets. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 13, Tome 361 (2008), pp. 5-28. http://geodesic.mathdoc.fr/item/ZNSL_2008_361_a0/