The recent work of Godin et al. (2019) on derivatives pricing under regime-switching frameworks highlights that traditional pricing methods produce path-dependent prices for vanilla options when regimes are latent. The latter paper illustrates the construction of several risk-neutral measures circumventing this drawback so as to yield path-independent pricing. The current paper aims at improving on the work of Godin et al. (2019) by providing additional risk-neutral measures which also purge path-dependence, but which do not share some disadvantages associated with measures from the latter paper. Risk-neutral measures derived in the current work are based on the Extended Girsanov Principle (EGP). The advantage of the EGP approach lies in its implementation simplicity and its clear interpretability in terms of consistency with hedging agents locally minimizing their risk-adjusted discounted squared hedging errors. Another notable extension provided by our work versus Godin et al. (2019) is the incorporation of non-Gaussian distributions for log-returns. Numerical experiments show that incorporating such non-Gaussian distributions along with regime unobservability aversion within the EGP-based pricing procedures provides additional flexibility allowing controlling the level, skew, depth and curvature of implied volatility surfaces generated by the pricing model. Moreover, Monte-Carlo simulations provide evidence that the pricing of variable annuities is more influenced by the underlying asset return distributions than the choice of risk-neutral measure.

Godin等人的最新工作。政权转换框架下的衍生工具定价研究（2019年）强调，当政权潜伏时，传统定价方法会为香草期权产生与路径有关的价格。后面的论文说明了几种规避风险的风险中性措施的构建，从而产生了与路径无关的定价。本论文旨在改进Godin等人的工作。（2019）通过提供额外的风险中性措施，这些措施也清除了路径依赖，但没有分享后者论文中与措施相关的一些缺点。当前工作中得出的风险中性措施是基于扩展Girsanov原理（EGP）的。EGP方法的优势在于其实现的简便性和与对冲代理的一致性方面的清晰可解释性，从而最大程度地减少了风险调整后的贴现平方对冲误差。与Godin等人的工作相比，我们的工作提供了另一个显着的扩展。（2019）是将非高斯分布纳入对数收益率。数值实验表明，在基于EGP的定价程序中将此类非高斯分布以及无法观察到的制度合并在一起，可以提供额外的灵活性，从而可以控制定价模型生成的隐含波动率表面的水平，偏斜，深度和曲率。而且，