Valuing Exchange Options under an Ornstein-Uhlenbeck Covariance Model

In this paper we study the pricing of exchange options between two underlying assets whose dynamic show a stochastic correlation with random jumps. particular, consider Ornstein-Uhlenbeck covariance model, Levy Background Noise Processes driven by Inverse Gaussian subordinators. We use expansions in terms Taylor polynomials and cubic splines to approximately compute price derivative contract. Our findings that later approach provides an efficient way when compared Monte Carlo method, while maintaining equivalent degree accuracy.