Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “…include modeling electricity prices (Weron et al. 2004), short rates (Siu 2010), portfolio selection (Zhang et al. 2012), and option pricing (Elliott et al. 2007; Yuen and Yang 2009; Liu 2010; Ramponi 2012; Zhang et al. 2012; Fard and Siu 2013; Florescu et al. 2013; Costabile et al. 2014;…”
A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2013, methodology): “[8] consider the pricing of European and American options under a Markov-modulated jump-diffusion model using generalized Esscher transform method and derive a set of coupled partial integro-differential equations (PIDEs) describing the option prices in different regimes.”
A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014, background): “Chan, Elliot and Siu (2007) and Chan et al. (2007) propose an extended Heston model, where the parameters in the volatility process are modulated by a Markov chain, and they analyse the pricing of variance swaps and other derivatives.”