Option pricing under regime switching

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Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, methodology): “…in Hamilton (1989), the concept of regime switching has since been used extensively when modelling both interest rates (Choi, 2004; Gray, 1996; Wu and Zeng, 2005) and pricing option contracts (Bollen, 1998; Boyle and Draviam, 2007; Buffington and Elliott, 2002; Duan et al., 2002; Yao et al., 2006).”
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (2011, background): “t decades there has been a considerable progress in the pricing exercise for plain vanilla European or American style options: see e.g. Di Masi et al. (1994), Bollen (1998), Guo (2001), Hardy (2001), Duan et al. (2002), Buﬃngton and Elliott (2002), Konikov and Madan (2002), Guo and Zhang (2004), Cho”
A simple approach for pricing equity options with Markov switching state variables (2006, background): “In a recent paper, Duan et al. (1998) develop a model for option pricing with regime switches in the equity price.”