Ang A., Timmermann A. Regime changes and financial markets Ann. Rev. Financ. Econom., 4 (1) (2012), pp. 313-337 Azimzadeh P., Forsyth P.A., Vetzal K.R. Hedging costs for variable annuities under regime-switching Hidden Markov Models in Finance, Springer (2014), pp. 133-166 Bégin, J.-F., Gauthier, G., 2017. Price Bias and Common Practice in Option Pricing, Working paper. Simon Fraser University. Bollen N.P. Valuing options in regime-switching models J. Derivat., 6 (1) (1998), pp. 38-49 Boyle P., Draviam T. Pricing exotic options under regime switching Insurance Math. Econom., 40 (2) (2007), pp. 267-282 Buffington J., Elliott R.J. American options with regime switching Int. J. Theor. Appl. Finance, 5 (05) (2002), pp. 497-514 Buffington J., Elliott R.J. Regime switching and European options Stochastic Theory and Control, Springer (2002), pp. 73-82 Bühlmann H., Delbaen F., Embrechts P., Shiryaev A.N. No-arbitrage, change of measure and conditional Esscher transforms CWI Quart., 9 (4) (1996), pp. 291-317 Bühlmann H., Delbaen F., Embrechts P., Shiryaev A.N. On esscher transforms in discrete finance models ASTIN Bull.: J. IAA, 28 (2) (1998), pp. 171-186 Christoffersen P., Elkamhi R., Feunou B., Jacobs K. Option valuation with conditional heteroskedasticity and nonnormality Rev. Financ. Stud., 23 (5) (2009), pp. 2139-2183 Di Masi G.B., Kabanov Y.M., Runggaldier W.J. Mean-variance hedging of options on stocks with Markov volatilities Theory Probab. Appl., 39 (1) (1995), pp. 172-182 Duan J.-C., Popova I., Ritchken P., et al. Option pricing under regime switching Quant. Finance, 2 (116–132) (2002), p. 209 Elliott R.J., Aggoun L., Moore J.B. Hidden Markov Models: Estimation and Control, Vol. 29 Springer Science & Business Media (1995) Elliott R.J., Chan L., Siu T.K. Option pricing and Esscher transform under regime switching Annals of Finance, 1 (4) (2005), pp. 423-432 Elliott R.J., Madan D.B. A discrete time equivalent martingale measure Math. Finance, 8 (2) (1998), pp. 127-152 Elliott R.J., Siu T.K. Option pricing and filtering with hidden Markov-modulated pure-jump processes Appl. Math. Finance, 20 (1) (2013), pp. 1-25 Elliott R.J., Siu T.K., Badescu A. On pricing and hedging options in regime-switching models with feedback effect J. Econom. Dynam. Control, 35 (5) (2011), pp. 694-713 Elliott R.J., Siu T.K., Chan L., Lau J.W. Pricing options under a generalized Markov-modulated jump-diffusion model Stoch. Anal. Appl., 25 (4) (2007), pp. 821-843 Fan K., Shen Y., Siu T.K., Wang R. Pricing annuity guarantees under a double regime-switching model Insurance Math. Econom., 62 (2015), pp. 62-78 François P., Gauthier G., Godin F. Optimal hedging when the underlying asset follows a regime-switching Markov process European J. Oper. Res., 237 (1) (2014), pp. 312-322 Fuh C.-D., Ho K.W.R., Inchi H., Wang R.-H. Option pricing with Markov switching J. Data Sci., 10 (3) (2012), pp. 483-509 Garcia R., Luger R., Renault E. Empirical assessment of an intertemporal option pricing model with latent variables J. Econometrics, 116 (1) (2003), pp. 49-83 Gerber H.U., Shiu E.S. Option pricing by esscher transforms (with discussion) Trans. Soc. Actuaries, 46 (1994), pp. 99-191 Gerber H.U., Shiu E.S. Actuarial bridges to dynamic hedging and option pricing Insurance Math. Econom., 18 (3) (1996), pp. 183-218 Goovaerts M.J., Laeven R.J. Actuarial risk measures for financial derivative pricing Insurance Math. Econom., 42 (2) (2008), pp. 540-547 Guo X. Information and option pricings Quant. Finance, 1 (1) (2001), pp. 38-44 Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle Econometrica, 57 (2) (1989), pp. 357-384 Hardy M.R. A regime-switching model of long-term stock returns N. Am. Actuar. J., 5 (2) (2001), pp. 41-53 Hardy M.R. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance John Wiley & Sons, Ltd. (2003) Harrison J., Kreps D.M. Martingales and arbitrage in multiperiod securities markets J. Econom. Theory, 20 (3) (1979), pp. 381-408 Ignatieva K., Song A., Ziveyi J. Pricing and hedging of guarantee minimum benefits under regime-switching and stochastic mortality Insurance Math. Econom., 70 (2016), pp. 286-300 Ignatieva K., Song A., Ziveyi J. Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality ASTIN Bull.: J. IAA, 48 (1) (2018), pp. 139-169 Ishijima, H., Kihara, T., 2005. Option pricing with hidden Markov models, Institute of Finance, Waseda University. Jin Z., Wang Y., Yin G. Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation J. Comput. Appl. Math., 235 (8) (2011), pp. 2842-2860 Jobert A., Rogers L.C. Option pricing with Markov-modulated dynamics SIAM J. Control Optim., 44 (6) (2006), pp. 2063-2078 Lamberton D., Lapeyre B. Introduction to Stochastic Calculus Applied to Finance CRC Press (2007) Liew C.C., Siu T.K. A hidden Markov regime-switching model for option valuation Insurance Math. Econom., 47 (3) (2010), pp. 374-384 Lin X., Tan K.S., Yang H. Pricing annuity guarantees under a regime-switching model N. Am. Actuar. J., 13 (3) (2009), pp. 316-332 Liu R., Zhang Q., Yin G. Option pricing in a regime-switching model using the fast Fourier transform Int. J. Stoch. Anal., 2006 (2006) Mamon R.S., Rodrigo M.R. Explicit solutions to European options in a regime-switching economy Oper. Res. Lett., 33 (6) (2005), pp. 581-586 Naik V. Option valuation and hedging strategies with jumps in the volatility of asset returns J. Finance, 48 (5) (1993), pp. 1969-1984 Ng A.C.-Y., Li J.S.-H. Valuing variable annuity guarantees with the multivariate esscher transform Insurance Math. Econom., 49 (3) (2011), pp. 393-400 Ngai A., Sherris M. Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives Insurance Math. Econom., 49 (1) (2011), pp. 100-114 Ranjbar H.R., Seifi A. A path-independent method for barrier option pricing in hidden Markov models Physica A, 440 (2015), pp. 1-8 Shen Y., Siu T.K. Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model Insurance Math. Econom., 53 (3) (2013), pp. 757-768 Siu T.K. A hidden Markov-modulated jump diffusion model for european option pricing Hidden Markov Models in Finance, Springer (2014), pp. 185-209 Siu T.K., Fung E.S., Ng M.K. Option valuation with a discrete-time double Markovian regime-switching model Appl. Math. Finance, 18 (6) (2011), pp. 473-490 Siu C.C., Yam S.C.P., Yang H. Valuing equity-linked death benefits in a regime-switching framework ASTIN Bull.: J. IAA, 45 (2) (2015), pp. 355-395 Trottier D.-A., Godin F., Hamel E. Local hedging of variable annuities in the presence of basis risk ASTIN Bull.: J. IAA, 48 (2) (2018), pp. 611-646 Trottier D.-A., Godin F., Hamel E. On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics Risks, 6 (3) (2018), p. 78 Wang C.-W., Yang S.S., Huang J.-W. Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance Quant. Finance, 17 (10) (2017), pp. 1567-1581 Wang Y., Yin G. Quantile hedging for guaranteed minimum death benefits with regime switching Stoch. Anal. Appl., 30 (5) (2012), pp. 799-826 Yao D.D., Zhang Q., Zhou X.Y. A regime-switching model for European options Stoch. Processes, Optim. Control Theory: Appl. Financ. Eng. Queue. Netw. Manuf. Syst.(2006), pp. 281-300 Yuen F.L., Yang H. Option pricing in a jump-diffusion model with regime switching ASTIN Bull.: J. IAA, 39 (2) (2009), pp. 515-539 Zhang Q., Guo X. Closed-form solutions for perpetual American put options with regime switching SIAM J. Appl. Math., 64 (6) (2004), pp. 2034-2049