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A generalized Esscher transform is introduced for option valuation in a Markov regime-switching model. It is intended that the generalized Esscher transform might provide novel insights into pricing regime switching risk. A new pricing kernel and the related martingale condition are derived which might provide a convenient way to price both diffusion and regime switching risks. Numerical studies are provided to illustrate the proposed method.

A generalized Esscher transform for option valuation with regime switching risk