Regime Switching and European Options

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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, unknown): “The derivation of the regime switching version of the Feyman–Kac formula follows from the martingale approach and Ito's differentiation rule in Buffington and Elliott ( 2002a , b ).”
Option pricing and Esscher transform under regime switching (2005, methodology): “As in Buffington and Elliott [ 4 , 5], we can take a second expectation of V (t, T, St ,P t,T ,U t,T ) with respect to the probability distributions of Pt,T and Ut,T , which can be interpreted as a statistical estimation of the unobservable price V (t, T, St ,P t,T ,U t,T ) given observable market i”
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (2011, background): “Buffington and Elliott (2002-a) and Buffington and Elliott (2002-b) price European and American options under regime switching models, while Elliott et al. (2005) address the specification of an appropriate pricing martingale measure.”
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007, background): “Buffington and Elliott [ 33 34 ] considered the option pricing problems for European and American options in a Black–Scholes market in which the states of the economy are described by a finite state Markov chain.”